13.14 Term Structure Models

Select the Extended Vasicek Model for the computation of market value and Value-at-Risk.

You have a choice of four-term structure models:

1. Merton (requires only the parameter volatility to be specified).
2. Vasicek (requires all three parameters to be specified: mean reversion speed, volatility, and long-run rate).
3. Ho and Lee (requires only the parameter volatility to be specified).
4. Extended Vasicek (requires to mean reversion speed and volatility parameters to be specified).