vasciek-model

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    VASCIEK Model

    Dear David, There was question in the exam asking for shape of curve in third year of Note...Values were given Long run means=8% , Mean reversion parameter=0.02 , current short term rate 5% and 1% Volatility...Question asked for the shape of the curve 1. Upward, 2 Downward, 3 Flat or...
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