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Hello,I am currently studying about Vasicek model and I am trying to understand how one can calibrate the model in order to fit to the reality. I now that in the 1-factor Vasicek model the dynamics of the SDE are constants. Moreover, for obtaining these values one way is to fit to the model the current zero coupon bond curve and find the parameters(dynamics). But, how this is possible? It will help if you indicated any tutorial or any other source that will help me become more familiarized.Thank you in advance.
Hello,
I am currently studying about Vasicek model and I am trying to understand how one can calibrate the model in order to fit to the reality. I now that in the 1-factor Vasicek model the dynamics of the SDE are constants. Moreover, for obtaining these values one way is to fit to the model the current zero coupon bond curve and find the parameters(dynamics). But, how this is possible? It will help if you indicated any tutorial or any other source that will help me become more familiarized.
Thank you in advance.
