Exercise 26.8 from the ASM Manual:
In a Vasicek model, A(0,10) = .77052
B(0,10) = 6.32121
Determine the continuously compounded yield to maturity on a 10 year zero coupon bond when the current rate =.05.
We find that P(.05,0,10)=.56172
To find yield of maturity, we set up as e^-10y = .56172
In this problem, why do we assume the coefficient before e is 1?
In a Vasicek model, A(0,10) = .77052
B(0,10) = 6.32121
Determine the continuously compounded yield to maturity on a 10 year zero coupon bond when the current rate =.05.
We find that P(.05,0,10)=.56172
To find yield of maturity, we set up as e^-10y = .56172
In this problem, why do we assume the coefficient before e is 1?
Continuously Compounded Yield to Maturity
