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Assume that the continuously-compounded spot yield curve is as follows: r(0,0.5) = 1.2%, r(0,1) = 1.6%, r(0,1.5) = 2%, r(0,2) = 2.2%. . Fit the
Assume that the continuously-compounded spot yield curve is as follows: r(0,0.5) = 1.2%, r(0,1) = 1.6%, r(0,1.5) = 2%, r(0,2) = 2.2%. . Fit the drift parameters @i (i = 0,1,2) in the previous Ho-Lee model so that the model matches the observed spot yield curve perfectly. What are the O values? Assume that the continuously-compounded spot yield curve is as follows: r(0,0.5) = 1.2%, r(0,1) = 1.6%, r(0,1.5) = 2%, r(0,2) = 2.2%. . Fit the drift parameters @i (i = 0,1,2) in the previous Ho-Lee model so that the model matches the observed spot yield curve perfectly. What are the O values
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