Zero Coupon Bond under Cox-Ingersoll-Ross Model

Posted by Fred

Zero Coupon Bond

Speed of reversion (a)
Long term mean level (b)
Instantaneous volatility (sigma)
Time to maturity (T)
Initial interest rate (r) %
Price of Zero Coupon Bond that pays $1 at T

The calculation is based on Cox-Ingersoll-Ross model, dr=a(b-r)dt+sigma*sqrt(r)dw.

Tagged: Zero Coupon Bond Calculator, Short Rate Model, Cox-Ingersoll-Ross Model

 •  Feb 2, 2014  • 

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