RainbowStats™ · Finance commands

ZCB_VASICEK

Calculate a model zero-coupon discount factor.

Syntax

ZCB_VASICEK(R0,r,KAPPA,k,THETA,theta,SIG,sigma,T,maturity)

Example

ZCB_VASICEK(R0,0.03,KAPPA,0.5,THETA,0.04,SIG,0.01,T,5)

Details

Uses Vasicek Gaussian short-rate pricing in AffineRatesTool. Parameters are unquoted names followed by finite numeric literals; rates use decimals (0.03 = 3%). Defaults: R0 (or R) 0.03, KAPPA 0.5, THETA 0.04, SIG 0.01, T 1. Unknown keys retain legacy behavior and are ignored. Duplicate keys use the last value. The result is a symbolic Const; use EVAL to obtain its numeric text. No calibration is performed.

No result-specific extract inventory was verified for this wrapper. Interactive models may inherit extraction behavior from their base classes.