Vasicek Dynamics in Excel [Excel]

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Vasicek Dynamics in Excel
Submitter: vanna	Date: 2007/12/12

Description: Creates graphs of Expected values of r(t) and Variance of r(t) using the folrmulas : Values of model parameters are changed in "Model" sheet, and effect on the dynamics are observed in graphs in the other sheets. eg., increasing the mean reversion rate tends to approach long term rate faster. 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
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