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Figure 17. 1: An Example of a One-Factor Spot Rate Process Figure 17.1: An Example of a One-Factor Spot Rate Process. Actual Probabilities.

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Presentation on theme: "Figure 17. 1: An Example of a One-Factor Spot Rate Process Figure 17.1: An Example of a One-Factor Spot Rate Process. Actual Probabilities."— Presentation transcript:

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7 Figure 17. 1: An Example of a One-Factor Spot Rate Process
Figure 17.1: An Example of a One-Factor Spot Rate Process. Actual Probabilities Along Each Branch of the Tree

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10 Figure 17. 2: The Derived Bond Price Curve Evolution
Figure 17.2: The Derived Bond Price Curve Evolution. Actual Probabilities Along Each Branch of the Tree

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15 Figure 17. 3: An Example of a Spot Rate Process Evolution
Figure 17.3: An Example of a Spot Rate Process Evolution. The Pseudo-Probabilities Are Given on Each Branch of the Tree. The Numbers Under Each Node are the Values for Spot Rates Which Match the Exogenous Values.

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