The ShortRateProcess command returns a stochastic process that represents the instantaneous spot rate in the given short-rate model.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$M≔\mathrm{VasicekModel}\left(0.03\,0.05\,0.3\,0.002\right)$

$M≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$X≔\mathrm{ShortRateProcess}\left(M\right)$

$X≔\mathrm{\_X0}$

$\mathrm{PathPlot}\left(X\left(t\right)\,t=0..1\,\mathrm{timesteps}=50\,\mathrm{replications}=20\,\mathrm{axes}=\mathrm{BOXED}\,\mathrm{thickness}=3\,\mathrm{color}=\mathrm{red}..\mathrm{blue}\,\mathrm{gridlines}=\mathrm{true}\right)$

$\mathrm{PathPlot}\left(\exp \left(\mathrm{Int}\left(X\left(u\right)\,u=0..t\right)\right)\,t=0..1\,\mathrm{timesteps}=50\,\mathrm{replications}=20\,\mathrm{axes}=\mathrm{BOXED}\,\mathrm{thickness}=3\,\mathrm{color}=\mathrm{red}..\mathrm{blue}\,\mathrm{gridlines}=\mathrm{true}\right)$

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice, New York: Springer-Verlag, 2001.

Glasserman, P., Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag, 2004.

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.

Vasicek, O.A., An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5 (1977), pp 177-188.

The Finance[ShortRateProcess] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.