Dec
3

## Zero coupon CIR bond price

A simple Matlab code to calculate a zero-coupon bond price under the Cox-Ingersoll-Ross (CIR) Interest Rate Model, where r0 is the current interest rate, alpha, kappa, sigma are CIR parameters standing for mean reversion speed, long term mean rate, and volatility of interest rate, T is the maturity of bond.

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Garch option pricing

Markets, Ethics and Mathematics - A Defence of Mathematics

Efficient Forex Trading Strategies

QuantShare Trading Software

Financial Analytics & Risk Management Tools

h = sqrt(kappa^2 + 2*sigma^2);

A = (2*h*exp((kappa+h)*T/2)/(2*h + (kappa+h)*(exp(T*h)-1)))^((2*kappa*alpha)/sigma^2);

B = 2*(exp(T*h)-1)/(2*h + (kappa+h)*(exp(T*h)-1));

P = A*exp(-B*r0); % bond price at 0

A = (2*h*exp((kappa+h)*T/2)/(2*h + (kappa+h)*(exp(T*h)-1)))^((2*kappa*alpha)/sigma^2);

B = 2*(exp(T*h)-1)/(2*h + (kappa+h)*(exp(T*h)-1));

P = A*exp(-B*r0); % bond price at 0

**People viewing this post also viewed:**

Hot posts:

Random posts: