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Price of ZCB - Vasicek model

J

Janboyd

Member
For the formula on p44 of the tables, what are R, L and beta?
Trying to figure out how I would use this formula to answer April 2015 qu 10 if I hadn't memorised anything
 
Yeah you'd better memorize what those terms mean and/or at least be able to derive this expression; sometimes the Yellow Book isn't as helpful as it seems at first glance. This is extracted from the ActEd notes and is a good reason (expensive as it may be) to buy them if you haven't already done so (or have relevant materials from your university).

Vasicek.jpg
 
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