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Simulate a Cox-Ingersoll-Ross model, 1 year at a time, for 20 years Using: starting rate reversion speed reversion rate
Posted: Mon May 02, 2022 4:46 pm
by answerhappygod
- Simulate A Cox Ingersoll Ross Model 1 Year At A Time For 20 Years Using Starting Rate Reversion Speed Reversion Rate 1 (17.79 KiB) Viewed 33 times
Simulate a Cox-Ingersoll-Ross model, 1 year at a time, for 20 years Using: starting rate reversion speed reversion rate volatility (0) Δt 0.070 0.200 0.030 0.025 1 Complete the table: year U(0, 1) draw rate 0.0700 1 ON + 2 3 4 5 6 7 8 9 D00 10 0.3742 0.7204 0.1830 0.5867 0.9369 0.5241 0.2877 0.1254 0.4821 0.7341 0.9829 0.9157 0.4567 0.2723 0.0928 0.0958 0.5037 0.2835 0.9593 0.5750 11 12 13 14 15 16 17 18 19 20