Prototype
Function bond_cir(curr_time As Double,
bond_mat As Double,
a As Double,
b As Double,
c As Double,
r As Double,
face_value As Double) As Variant
Description
This function calculates the value of a bond using the Cox, Ingersoll and Ross method.
Arguments
curr_time - Double : The current time in years ( usually set this to zero).
bond_mat - Double : The bond maturity in years.
a - Double : The CIR parameter a.
b - Double : The CIR parameter b.
c - Double : The CIR parameter c.
r - Double : The current short term, continuously compounded, interest rate.
face_value - Double : The face value of the bond.
Returned Values
The value of the bond is returned.
Other Information
Information on enumeration types
List of available routines