Exercise . (Calibration of the CIR model) Compute b ( ) in the CIR model by differentiation

Exercise . (Calibration of the CIR model) Compute b

(τ ) in the CIR model by differentiation of (.). Find out which types of initial forward rate curves the CIR model can be calibrated to, by computing (using a spreadsheet for example)

the right-hand side of (.) for reasonable values of the parameters and the initial short rate. Vary the parameters and the short rate and discuss the effects.