Vasicek model question

[parmesan]

Here is the Vasicek model for interest rates.
dr = a(y-r)dt+pdz,
Where a is the speed of adjustment of the interest rate towards its long run level.
I am trying to simulate interest rates over the next 5 years.
What “a” should I use? I know it is supposed to be positive…but is there a way to calculate it using historical data? I have all the other inputs that go into the model
thanks
For more info go to http://www.viswiki.com/en/Vasicek_model

 

[level3aspirant]

are 6 books less than sufficient for next 3 weeks that remain …

 

[Aimee]

Is this guy a spammer or is that really in the books? I hope I’m not losing it here but that doesn’t sound the slightest bit familiar…

 

[Slash]

LOL
WHY why WHY do people ask such irrelevant questions for L3?
Is this the LOS with the mortgage assumptions? “The Monte Carlo simulation of interest rates must have reasonable assumptions”? Or something like that?
If this was meant as a question for the general forum then I apologize for my remarks.

 

[GMofDen]

This chick already passed L3.

 

[Slash]

GMofDen Wrote:
——————————————————-
> This chick already passed L3.
Not a chick. 29 year-old bald dude. Finished CFA program in 2008 after starting in 2004.

 

[mp2438]

guys, did you not study the formulas for brownian motion either??????
In case you forgot, here’s a summary of the formulas:
http://en.wikipedia.org/wiki/Brownian_model_of_financial_markets

 

[1morelevel]

I heard stochastic processes and C++ will be on the exam. I swear.

 

[mp2438]

crap…I forgot about C++…was studying Java all this time. What page can I find this material on?
Seriously guys - there’s going to be millions of “panic” questions in the next few weeks…If you don’t know it, its likely that 90% of the rest of us don’t, and you’re still better off reviewing what you do know.

 

[GMofDen]

Ahhhhh misread… I thought it was a bald chick.

 

[Slash]

Ohhh damn… good thing I took stochastic processes in 4th year. Time to break out my old textbook to relearn Markov chains. Which LOS is Markov chains in? A bigger question is do we have to remember the proof?

 

[naples111]

You must be able to demonstrate the proof but not calculate its derivation.

 

[Slash]

Isn’t that the same thing? LOL
Well regardless, I won’t memorize it and I’ll just concentrate on Brownian motion

 

[sparty419]

I didn’t read any of the comments except the OP. WTF IS THIS??