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Finance

  

ShortRateProcess

  

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

 

Calling Sequence

Parameters

Description

Examples

References

Compatibility

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.

MVasicekModel0.03,0.05,0.3,0.002

M:=moduleend module

(1)

The following is the corresponding stochastic process.

XShortRateProcessM

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

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.

Compatibility

• 

The Finance[ShortRateProcess] command was introduced in Maple 15.

• 

For more information on Maple 15 changes, see Updates in Maple 15.

See Also

Finance[BlackScholesProcess]

Finance[CoxIngersollRossModel]

Finance[HullWhiteModel]

Finance[OrnsteinUhlenbeckProcess]

Finance[PathGenerator]

Finance[SamplePath]

Finance[ShortRateTree]

Finance[VasicekModel]

 


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