Model 1 Assumptions

dt 0.083333
Initial Short Rate 5%
Annual Drif 0
Annual Volatality 1.60%
Today Month 1 Month 2

5.924%

5.462%
5% 5%
4.538%

4.0762%

Month dt sqrt(dt) Rand Norm.s.inv dw rho dr r

0 5%
1 0.083333 0.288675 0.773481 0.75035917 0.2166096 1.60% 0.00346575 5.35%
2 0.083333 0.288675 0.516312 0.04089843 0.011806335 1.60% 0.0001889 5.37%
3 0.083333 0.288675 0.853174 1.05014418 0.303149907 1.60% 0.0048504 5.85%
4 0.083333 0.288675 0.22673 -0.7496589 -0.21640745 1.60% -0.0034625 5.50%
5 0.083333 0.288675 0.120237 -1.1738053 -0.33884772 1.60% -0.0054216 4.96%
6 0.083333 0.288675 0.721124 0.58618442 0.169216529 1.60% 0.00270746 5.23%
 Model Assumption 2
dt 0.083333
Initial Short Rate 5%
Annual Drif 1.00%
Annual Volatility 1.60%

Month dt sqrt(dt) RAND NORMSINV dw Rho

0
1 0.083333 0.288675 0.59167 0.23184167 0.066927 1.60%
2 0.083333 0.288675 0.010155 -2.32057002 -0.66989 1.60%
3 0.083333 0.288675 0.457896 -0.10573684 -0.03052 1.60%
4 0.083333 0.288675 0.443187 -0.1428951 -0.04125 1.60%
Lambda*dt dr = lambda*dt + rho*dw r
5%
0.00083333 0.0019041586 5.190%
0.00083333 -0.0098849024 4.202%
0.00083333 0.0003449534 4.236%
0.00083333 0.0001733271 4.254%
dt 0.08333
Initial Short Rate 4%
Annual Drif, First Month, 1 3%
Annual Drif, Second Month, 2 1.10%
Annual Volatality 0.70%

Month dt sqrt(dt) RAND NORMSINV

0
1 0.08333 0.288669 0.962829 1.784506
2 0.08333 0.288669 0.333008 -0.43162
dw tdt dr=tdt+dw

0.515132
-0.1246
 Vasicek Model
dr = k(-r)dt + *dw

= Long run value or central tendency of the short term rate

k = speed of mean reversion

Model Assumptions:

dt 0.08333
Initial Short Rate 0.05121
Annual Drif 0.00229
Drif Per Month 0.00019
Annual Volatility 0.15339
0.025
k
what will be expected intrest rate in 2 yrs
how much time it would take to reach the level of 6.99% intrest rate