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Cox-Ingersoll-Ross Interest Rate Model by 3assraven is a document available to read on EtoBox.

What is Cox-Ingersoll-Ross Interest Rate Model about?

The document outlines the Cox-Ingersoll-Ross model for interest rate derivatives, detailing its inputs, outputs, and calculations for discount functions and term structures. It includes parameters such as short-term interest rates, long-term means, mean-reverting speeds, and volatilities. The model is based on equilibrium assumptions and utilizes continuous compounding for its calculations.

Author

3assraven

Language

EN