return a stochastic process that governs a short rate in the given model
short-rate model data structure; short-rate model
The ShortRateProcess command returns a stochastic process that represents the instantaneous spot rate in the given short-rate model.
First define a Vasicek model with parameters r0=0.03, μ=0.05, θ=0.3 and σ=0.002.
M ≔ moduleend module
The following is the corresponding stochastic process.
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice, New York: Springer-Verlag, 2001.
Glasserman, P., Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag, 2004.
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
Vasicek, O.A., An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5 (1977), pp 177-188.
The Finance[ShortRateProcess] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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