collecting data of bond prices (zeros or coupons, 20 plus
different bonds), then using the data to fit the model prices.
Find afunction P(0,r) such that
P(0,r) = Pmkt(0,r )
Pmkt is the market price.
In short, to fit the Vasicek Model to market price.
- description about the data used
- the program used to calculate the function theta
- results of the fittings, e.g., some graphs of the fitted function