Yields and maturities simulated from the Vasicek model, wth parameters alpha = 0.5, beta = 2.55, sigma = 0.365, q1 = 0.3, q2 = 0, h = 1/360. The maturities are 1,3,6, and 12 months.
Yields and maturities simulated from the CIR model, wth parameters alpha = 0.5, beta = 2.55, sigma = 0.365, q1 = 0.3, q2 = 0, h = 1/360. The maturities are 1,3,6, and 12 months.
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