Overview - 2023.2 English

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2023.2 English

In financial mathematics, the Vasicek Model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short rate model as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives, and has also been adapted for credit markets (from Wiki).

As widely-used of the Hull-White model, the Vasicek Model is an outdated model.