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Sep 30

Vasicek Model calibration and simulation

Posted by abiao at 15:02 | Code » VBA/Excel | Comments(1) | Reads(25540)
Entries Vasicek estimation and Vasicek model in binomial tree introduced how to estimate Vasicek model parameters, how to implement Vasicek interest rate model in binomial tree, which can be further used to price option on bonds, for instance. Here i share another two excel files demonstrating how to calibrate a Vasicek model to a given term structure and simulate Vasicek zero bond prices and the path of the short rate.

Download at http://www.mathematik.uni-kl.de/~korn/korn2b.htm, besides Vasicek short rate model, CIR, Dothan and Exponential Vasicek are also included in one file.


Tags:
grandtiger
The download link (http://www.mathematik.uni-kl.de/~korn/korn2b.htm) no longer works, do you mind providing a new link or attach the sheet here?
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