10_21_2010 Vasicek_Excel

10_21_2010 Vasicek_Excel - 0.884 N2 1.6453097 d(2h,4h 0.786...

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parameters step size 0.02672189 0.150 0.861 my 0.06 r(3h,4h) d(3h,4h) sigma 0.04 0.123 0.235 0.884 0.235 phi 0.8 r(2h,3h) 0.765 d(2h,3h) 0.765 lambda 0.333333 0.097 0.347 0.097 0.908 0.347 risk adj 0.007874 0.908 h 1 r(h,2h) 0.653 r(3h,4h) d(h,2h) 0.653 d(3h,4h) r short 0.07 0.070 0.458 0.070 0.458 0.932 0.458 risk adj 0.008087 0.932 0.458 r(0,h) 0.542 r(2h,3h) 0.542 d(0,h) 0.542 d(2h,3h) 0.542 0.043 0.570 0.043 risk adj 0.008306 0.958 0.570 risk adj 0.008306 0.958 r(h,2h) 0.430 r(3h,4h) d(h,2h) 0.430 d(3h,4h) 0.017 0.681 risk adj 0.008531 0.984 0.681 r(2h,3h) 0.319 d(2h,3h) 0.319 -0.010 risk adj 0.008762 1.010 r(3h,4h) d(3h,4h) d(3h,4h) 0.861 d(2h,3h)
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Unformatted text preview: 0.884 N2 1.6453097 d(2h,4h) 0.786 N1-0.669803 d(h,2h) 0.908 N2 1.6127575 T ytm d(h,3h) 0.824 d(3h,4h) 0.908 N1-0.639861 1 0.0700 d(0,h) 0.932 d(h,4h) 0.748 d(2h,3h) 0.932 N2 1.6784422 2 0.0732 d(0,2h) 0.864 d(2h,4h) 0.864 N1-0.701105 3 0.0757 d(0,3h) 0.797 d(h,2h) 0.958 N2 2.0306492 4 0.0778 d(0,4h) 0.733 d(h,3h) 0.906 d(3h,4h) 0.958 N1-1.095685 d(h,4h) 0.849 d(2h,3h) 0.984 d(2h,4h) 0.950 d(3h,4h) 1.010 1 2 3 4 0.0660 0.0680 0.0700 0.0720 0.0740 0.0760 0.0780 0.0800...
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