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  1. Matlab code - Vasicek yield curve fitting, Various bond price models available

    I have a similar problem. I'm working with the Ahn-Gao (1999) one factor short-rate model and I have estimated the parameters of the process under the REAL measure (kappa,theta,sigma) via GMM using time series data from Libor market assuming the one month Libor rate as a proxy for the...
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