Actuarial Outpost > MFE Formulas for A and B in Vasicek and CIR
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#1
06-24-2012, 01:02 AM
 dalev3517 SOA Join Date: Jan 2012 Studying for Exam MLC College: Binghamton University, Recent Alumnus Favorite beer: I don't always drink beer Posts: 20
Formulas for A and B in Vasicek and CIR

Would it be helpful to memorize the formulas for A and B in those equations?B(t,T) is easy to remember for Vasicek, but the three other formulas are pretty ridiculous.
#2
06-24-2012, 12:12 PM
 fargo_viper Member SOA Join Date: May 2010 Posts: 532

If you can't memorize these then you don't deserve to pass!
#3
06-24-2012, 01:19 PM
 BLBarK Member CAS Join Date: Sep 2011 Location: Columbus, OH Studying for Exam 3L and 4/C College: Senior year Favorite beer: Sierra Nevada Posts: 440

Keep in mind that fargo is superhuman!
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#4
06-24-2012, 10:28 PM
 appana Member SOA Join Date: Jan 2011 Location: Denver, CO Studying for MLC College: University of Colorado Alumni Favorite beer: Isadore Java Porter Posts: 81

Vasicek formulas are pretty easy to memorize, and I would suggest memorizing those. You can expect anywhere from 1-2 questions on that stuff and if you memorize the formula, it's a 2 min problem. Easy points.

I didn't bother with CIR as much as the formulas were large and I didn't see any questions on the practice exams that required you to memorize the formula in order to be able to solve those problems. This strategy worked pretty well for me during the exam...
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