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Vasicek Analytical Finance II

Vasicek Analytical Finance II. 2011-12-19 Ngami Valery Ogunniyi Oluwayinka Maarse Bauke. Introduction. Vasicek (zero-coupon) Tasks Term structure Discount rate Forward rate Distribution VBA/Excel Results. Vasicek Model. Mean reverting Affine term structure. VBA code. While loop

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Vasicek Analytical Finance II

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  1. VasicekAnalytical Finance II • 2011-12-19 • Ngami Valery • Ogunniyi Oluwayinka • Maarse Bauke

  2. Introduction • Vasicek (zero-coupon) • Tasks • Term structure • Discount rate • Forward rate • Distribution • VBA/Excel • Results

  3. Vasicek Model • Mean reverting • Affine term structure

  4. VBA code

  5. While loop • Day count conversion

  6. Results • Variables of term structure

  7. Results • Term structure • Forward rate

  8. Results • Discount factor • Distribution

  9. Thank you

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