return a stochastic process that governs a short rate in the given model - Maple Help

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Finance[ShortRateProcess] - return a stochastic process that governs a short rate in the given model

Calling Sequence

ShortRateProcess(model)

Parameters

model

-

short-rate model data structure; short-rate model

Description

• 

The ShortRateProcess command returns a stochastic process that represents the instantaneous spot rate in the given short-rate model.

Examples

withFinance:

First define a Vasicek model with parameters r0=0.03, μ=0.05, θ=0.3 and σ=0.002.

M:=VasicekModel0.03,0.05,0.3,0.002

M:=moduleend module

(1)

The following is the corresponding stochastic process.

X:=ShortRateProcessM

X:=_X

(2)

PathPlotXt,t=0..1,timesteps=50,replications=20,axes=BOXED,thickness=3,color=red..blue,gridlines=true

PathPlotⅇ∫0tXuⅆu,t=0..1,timesteps=50,replications=20,axes=BOXED,thickness=3,color=red..blue,gridlines=true

See Also

Finance[BlackScholesProcess], Finance[CoxIngersollRossModel], Finance[HullWhiteModel], Finance[OrnsteinUhlenbeckProcess], Finance[PathGenerator], Finance[SamplePath], Finance[ShortRateTree], Finance[VasicekModel]

References

  

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice, New York: Springer-Verlag, 2001.

  

Glasserman, P., Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag, 2004.

  

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.

  

Vasicek, O.A., An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5 (1977), pp 177-188.


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