ZCB_VASICEK_CURVE

Syntax

ZCB_VASICEK_CURVE(R0,r,KAPPA,k,THETA,theta,SIG,sigma,TMIN,a,TMAX,b,N,n)

Example

ZCB_VASICEK_CURVE(R0,0.03,TMIN,1,TMAX,10,N,10)

Details

Uses the corresponding affine discount-factor model. Rate parameters and conventions match the single-price command. Defaults: R0/R 0.03, KAPPA 0.5, THETA 0.04, SIG 0.01; TMIN 0.25, TMAX 30, N 120. N is rounded and clamped to at least 2; TMAX <= TMIN becomes TMIN + 0.000001. Returns a three-column matrix: maturity, discount factor, continuously compounded zero yield in decimals. Save that matrix to use FWD_FROM_CURVE. Requires complete parameter/value pairs; this fixes the prior CIR curve’s silent omission of a dangling parameter.

Available extracts

Save the command result in a variable, then use EXTRACT(result, "key"). Availability can depend on the input form and fitted model.

• matrix
• correlation
• covariance
• cholesky

In indexed patterns such as beta:n, replace n with the required index.