Zero Coupon Bond under Cox-Ingersoll-Ross Model

Posted by Fred

Zero Coupon Bond

Input:
Speed of reversion (a)
Long term mean level (b)
Instantaneous volatility (sigma)
Time to maturity (T)
Initial interest rate (r) %
Output:
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  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, hedging methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, hedging and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

pai@quantcalc.net

Copyright 2012-2017 Szu-Yu Pai