4771数理金融中等数值题short
Infer Current Short Rate From an Affine Bond Quote 6
题目
In an affine short-rate model, a zero-coupon bond is priced as P(0,T)=A(T)exp(-B(T)r0). For one maturity bucket the model exports A(T)=0.97, B(T)=2.5, and the bond quote is P(0,T)=0.899911. What current short rate r0 is implied?
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