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Could you please verify that I edited your question correctly, i.e. that this is indeed your question. In this case, the Ho-Lee (1986) model reads as $dr=\theta_t dt +\sigma dW_t$. Do you can use $f(t,x)=x$ such that $X_t=r_t$. In this Sense, the Ho-Lee model is a Vasicek model with time dependence. This is further generalised in the model from Hull and ...


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Treasury / OIS spread is simply the difference between a given Treasury bond's yield (typically the on-the-run Treasuries, like 2y, 5y, etc.) and the fixed rate on an OIS of a similar tenor. If you consider OIS to be a decent proxy for repo rates, the Treasury / OIS spread is a way of gauging how cheap / rich Treasuries are versus their funding. Typically, ...


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