time zero yield - Actuarial Science for Dummies [Archive]

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CamNZ

05-09-2007, 07:14 PM

Why can't the time–zero yield curve in the Vasicek and Cox–Ingersoll–Ross bond price models be exogenously prescribed?

Please translate and explain...

CamNZ

05-09-2007, 07:21 PM

I should have searched first

http://www.actuarialoutpost.com/actuarial_discussion_forum/showthread.php?t=106320&highlight=yield

http://www.actuarialoutpost.com/actuarial_discussion_forum/showthread.php?t=106605&highlight=yield