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Inverting the yield curve refers to long rates lower tan short rates, not what it days here Tags: Mobile edit Mobile web edit |
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: <math>
\begin{align}
p(t,T)&=e^{A(t,T)-B(t,T)r(
B(t,T)&=\frac{1}{a}\left(1-e^{-a(T-t)}\right)\\
A(t,T)&=\frac{(B(t,T)-T+t)(ab-\frac{1}{2}\sigma^2)}{a^2}-\frac{\sigma^2B^2(t,T)}{4a}
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