Forward rate dynamics demo for Short rate Models [Quantlib, GnuPlot]

Category: Quantlib	View Full Details
Forward rate dynamics demo for Short rate Models
Submitter: vanna	Date: 2008/7/2

Description: This code snippet plots forward rate curve for Vasicek model. It uses Quantlib with GnuPlot. Please refer to Showing graphs in Quantlib for details of setup of GnuPlot. The function shows how increasing the mean reversion speed makes the forward curve approach long term mean faster. eg., this is the grph output after running the function: Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
576 0 bytes Quantlib, GnuPlot http://www.quantcode.com/
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