10_05_2010 Vasicek Historical Data

10_05_2010 Vasicek Historical Data - FIXED INCOME...

Info iconThis preview shows pages 1–6. Sign up to view the full content.

View Full Document Right Arrow Icon
1 NAME OF INITIATIVE OR GROUP FIXED INCOME SECURITIES Spring 2010 – FNCE 235/725 Prof. Stephan Dieckmann OCTOBER 5, 2010 VASICEK HISTORICAL DATA
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
2 Historical Data – 6 M US Treasury Bill since 2008 0 0.5 1 1.5 2 2.5 2008-06 2008-08 2008-10 2008-12 2009-02 2009-04 2009-06 2009-08 2009-10 2009-12 2010-02 2010-04 2010-06 2010-08 date in % p.a.
Background image of page 2
3 Historical Data – 6 M US Treasury Bill since 2000 0 1 2 3 4 5 6 7 2000-01 2000-08 2001-03 2001-10 2002-05 2002-12 2003-07 2004-02 2004-09 2005-04 2005-11 2006-06 2007-01 2007-08 2008-03 2008-10 2009-05 2009-12 2010-07 date in % p.a.
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
4 Historical Data – 6 M US Treasury Bill since 1958 0 2 4 6 8 10 12 14 16 18 1958-12 1961-10 1964-08 1967-06 1970-04 1973-02 1975-12 1978-10 1981-08 1984-06 1987-04 1990-02 1992-12 1995-10 1998-08 2001-06 2004-04 2007-02 2009-12 date in % p.a.
Background image of page 4
5 Estimation of Vasicek Parameters • Appendix to Chapter 13 shows how to estimate the Vasicek parameters from historical data • Using the data shown in the previous graph I show what the
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 6
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 03/27/2012 for the course FNCE 235 taught by Professor Roussanov during the Spring '09 term at UPenn.

Page1 / 7

10_05_2010 Vasicek Historical Data - FIXED INCOME...

This preview shows document pages 1 - 6. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online