Two factor mean reverting yield model
| created by: |
Thijs van den Berg
(http://www.sitmo.com) |
A forward curve model with geometric Brownian motion and mean reverting stochastic yield that correlates with the spot.
List of symbols
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S
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Spot price
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Y
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Yield
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The forward price |
All text and equations on this page are freely available under the terms of the GNU Free Documentation License
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