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Term Structure of Interest Rates

S. Benninga
Z. Wiener
Journal / Anthology

Mathematica in Education and Research
Year: 1998
Volume: 7
Issue: 2
Page range: 13-21

This is the first of two articles on the term structure. In it, the authors discuss some term structure fundamentals and the measurement of the current term structure. They also illustrate the Vasicek and the Cox-Ingersoll-Ross models of the term structure. A succeeding article will discuss the Black-Derman-Toy and Black-Karasinsky models of the term structure.

*Business and Economics
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termStruct.nb (328.4 KB) - Mathematica Notebook