Affine term structure model: Difference between revisions

Revision as of 21:43, 23 March 2016

Revision as of 21:45, 23 March 2016

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: <math>

\begin{align}

p(t,T)&=e^{A(t,T)-B(t,T)r(tdddt)}\\

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}