stochastic interest rate models

Discussion in 'CT1' started by Radhika, Apr 10, 2008.

  1. Radhika

    Radhika Member

    Hi pals
    I am a new comer. Could anyone explain to me why the variance of the annual rate of interest is 1/12 * (0.06-0.02)2 on example in page 14/520.
    Also it would be helpful if the formula for finding annual premium (mean accumulation and standard deviation) referred in Table 1 (Pg 15/521) for the example

    Regards
    Radhi
     
    Radhika, Apr 10, 2008
    #1
  2. *Ted*

    *Ted* Member

    The formula is that for the variance of a uniform distribution. It's on page 13 of the yellow Formulae and Tables book.
     
    *Ted*, Apr 10, 2008
    #2
  3. Radhika

    Radhika Member

    Thank you. Regarding the annual premium could you help me out.
    regards
    Radhi
     
    Last edited by a moderator: Apr 10, 2008
    Radhika, Apr 10, 2008
    #3
  4. bobbathejobba

    bobbathejobba Member

    The formulae used are the one given in the notes on page 12!

    This example just follows on after it.
     
    bobbathejobba, Apr 11, 2008
    #4

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