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Finance[ShortRateProcess] - return a stochastic process that governs a short rate in the given model
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Calling Sequence
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ShortRateProcess(model)
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Parameters
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model
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short-rate model data structure; short-rate model
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Description
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The ShortRateProcess command returns a stochastic process that represents the instantaneous spot rate in the given short-rate model.
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Compatibility
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The Finance[ShortRateProcess] command was introduced in Maple 15.
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Examples
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First define a Vasicek model with parameters ![r[0] = 0.3e-1](/support/helpjp/helpview.aspx?si=8920/file01683/math61.png) ,  ,  and  .
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The following is the corresponding stochastic process.
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References
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Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice, New York: Springer-Verlag, 2001.
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Glasserman, P., Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag, 2004.
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Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
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Vasicek, O.A., An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5 (1977), pp 177-188.
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