Vasicek2fPrice: Bond Price under 2-factor Vasicek Model
In ZScore314/ESG: Economic Scenario Generator for Asset Modeling
Description
Bond Price under 2-factor Vasicek Model
Usage
1
Vasicek2fPrice(r1, r2, a1, a2, v1, v2, u, t)
Arguments
r1
short rate at time t
r2
mean reversion level for the short rate at time t
a1
strength of mean reversion for short rate
a2
strength of mean reversion for short rate mean reversion
v1
annualized volatility of short rate
v2
annualized volatility of short rate mean
u
mean reversion level for r2
t
maturity of zero-coupon bond
ZScore314/ESG documentation built on Feb. 11, 2022, 12:15 a.m.
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Description
Bond Price under 2-factor Vasicek Model
Usage
1 | Vasicek2fPrice(r1, r2, a1, a2, v1, v2, u, t)
|
Arguments
r1 |
short rate at time t |
r2 |
mean reversion level for the short rate at time t |
a1 |
strength of mean reversion for short rate |
a2 |
strength of mean reversion for short rate mean reversion |
v1 |
annualized volatility of short rate |
v2 |
annualized volatility of short rate mean |
u |
mean reversion level for r2 |
t |
maturity of zero-coupon bond |
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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