You are using the Cox-Ingersoll-Ross model of equilibrium yield curve changes, described by:

dr = a*(b-r)*dt + *sqrt(r)*dz

Assume you have calibrated your model parameters to be the following:

Parameter	Value
a	0.42
b	5.02%
sigma	14%

And that the current short term rate is r = 3.58%.

Assume further that the random values of dz for the next two periods produced by your RNG are -0.25 and 0.44.

Under these conditions, what would be the short term interest rate two years from now.

Correct answer: 5.31