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The Cox, Ingersoll, and Ross Model Simulator
Current Interest Rate
Mean Reversion Speed
Mean Reversion Level
Volatility
# of Periods
This code uses the Cox, Ingersoll, and Ross model for the term structure of interest rates. It simulates five scenarios at a time.
1
2
3
4
5
6
7
8
9
10
End of Period:
1
Simulation 1:
Simulation 2:
Simulation 3:
Simulation 4:
Simulation 5: