10_28_2010 Vasicek_Excel_Calibration

10_28_2010 Vasicek_Excel_Calibration - d(h,2h 0.923 N2...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
parameters step size 0.02611835 0.084 0.810 my 0.0489 r(3h,4h) d(3h,4h) sigma 0.0313 0.058 0.437 0.864 0.437 phi 0.87 r(2h,3h) 0.563 d(2h,3h) 0.563 lambda 0.000 0.032 0.611 0.032 0.923 0.611 risk adj 0.000000 0.923 h 2.5 r(h,2h) 0.389 r(3h,4h) d(h,2h) 0.389 d(3h,4h) r short 0.0061 0.006 0.785 0.006 0.785 0.985 0.785 risk adj 0.000000 0.985 0.785 r(0,h) 0.215 r(2h,3h) 0.215 d(0,h) 0.215 d(2h,3h) 0.215 -0.020 0.959 -0.020 risk adj 0.000000 1.051 0.959 risk adj 0.000000 1.051 r(h,2h) 0.041 r(3h,4h) d(h,2h) 0.041 d(3h,4h) -0.046 1.133 risk adj 0.000000 1.122 1.133 r(2h,3h) -0.133 d(2h,3h) -0.133 -0.072 risk adj 0.000000 1.198 r(3h,4h) d(3h,4h) d(3h,4h) 0.810 d(2h,3h) 0.864 N2 1.5587409 d(2h,4h) 0.755 N1 -0.597453 model implied term structure
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: d(h,2h) 0.923 N2 1.5022803 T ytm d(h,3h) 0.841 d(3h,4h) 0.923 N1-0.543675 2.5 0.0061 d(0,h) 0.985 d(h,4h) 0.761 d(2h,3h) 0.985 N2 1.6159812 5 0.0133 d(0,2h) 0.936 d(2h,4h) 0.936 N1-0.655655 7.5 0.0185 d(0,3h) 0.870 d(h,2h) 1.051 N2 1.8031798 10 0.0225 d(0,4h) 0.799 d(h,3h) 1.041 d(3h,4h) 1.051 N1-0.902329 d(h,4h) 0.993 d(2h,3h) 1.122 observed term structure d(2h,4h) 1.158 as of T 9/13/2010 2.5 0.0061 0.0000 d(3h,4h) 1.198 5 0.0156 0.0024 7.5 0.0238 0.0053 10 0.0307 0.0082 2.5 5 7.5 10 0.0000 0.0050 0.0100 0.0150 0.0200 0.0250 0.0300 0.0350...
View Full 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.

Ask a homework question - tutors are online