Zero Coupon Bond Price - 2023.1 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.1 English

The zero coupon bond price for Hull White One Factor Model is calculated using the following:

\[P(t,T) = A(t,T) e ^ {-B(t,T) r(t)}\]
\[B(t,T) = 1 - \frac {e ^ {-(T-t)} } {a}\]
\[lnA(t,T) = ln \frac{P(0,T)}{P(0,t)} - B(t,T) -\frac{\delta ln P(0,t)}{\delta t} - \frac {\sigma ^ {2}}{4a^{2}} (e ^ {-aT} - e ^ {-at}) ^ {2} (e ^ {2at} - 1)\]

These input parameters are:

\(a\) - the mean reversion

\(\sigma\) - the volatility

\(t\) - the current time

\(T\)- the maturity

\(r(t)\) - the short rate at time t