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[null,"Bond","Maturity","Price","T-t (yrs)","r",null,"SUMMARY OUTPUT"]
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[null,null,null,null,null,null,null,"Standard Error",5.1471935298576927E-4]
[null,null,null,null,null,null,null,"Observations",5]
[null,"Hence"]
[null,"r(0) ",9.1059999999999995E-3,null,null,null,null,"ANOVA"]
[null,null,null,null,null,null,null,null,"df","SS","MS","F","Significance F"]
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[null,null,null,null,null,null,null,"Residual",3,7.9480803701426661E-7,2.6493601233808889E-7]
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[null,null,null,null,null,null,null,null,"Coefficients","Standard Error","t Stat","P-value","Lower 95%","Upper 95%","Lower 95.0%","Upper 95.0%"]
[null,null,null,null,null,null,null,"Intercept",9.1062615198460508E-3,3.777346554251908E-4,24.10756172105982,1.5643258989821296E-4,7.9041412613105374E-3,1.0308381778381564E-2,7.9041412613105374E-3,1.0308381778381564E-2]
[null,null,null,null,null,null,null,"X Variable 1",-1.5267324285017239E-6,3.7250416821851492E-6,-0.4098564683996036,0.70942115108092441,-1.3381477566999665E-5,1.0328012709996216E-5,-1.3381477566999665E-5,1.0328012709996216E-5]

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[null,"Parameters","Initial Value","Estimated value"]
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[null,"b",0.2,{"$f":"F44","v":2.4773877016664433E-2}]
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[]
[null,"Bond","Maturity","Observed Price","T-t (yrs)","B","A","Calculated Price","Error sq."]
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[]
[null,"Microsoft Excel 14.0 Answer Report"]
[null,"Worksheet: [Project.xlsx]Estimating Parameters (Vasicek)"]
[null,"Report Created: 12/17/2012 9:15:41 PM"]
[null,"Result: Solver has converged to the current solution.  All Constraints are satisfied."]
[null,"Solver Engine"]
[null,null,"Engine: GRG Nonlinear"]
[null,null,"Solution Time: 0.063 Seconds."]
[null,null,"Iterations: 7 Subproblems: 0"]
[null,"Solver Options"]
[null,null,"Max Time Unlimited,  Iterations Unlimited, Precision 0.000001, Use Automatic Scaling"]
[null,null," Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Forward, Require Bounds"]
[null,null,"Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%"]
[]
[null,"Objective Cell (Min)"]
[null,null,"Cell","Name","Original Value","Final Value"]
[null,null,"$I$20","Error sq.",3.4209703868127668,1.2204262680491744E-4]
[]
[]
[null,"Variable Cells"]
[null,null,"Cell","Name","Original Value","Final Value","Integer"]
[null,null,"$C$10","a Initial Value",0.8,0.26624552048391542,"Contin"]
[null,null,"$C$11","b Initial Value",0.2,2.4773877016664433E-2,"Contin"]
[null,null,"$C$12","σ Initial Value",0.2,0.19568208725573349,"Contin"]
[]
[]
[null,"Constraints"]
[null,null,"Cell","Name","Cell Value","Formula","Status","Slack"]
[null,null,"$C$10","a Initial Value",0.26624552048391542,"$C$10>=0","Not Binding",0.26624552048391542]
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[null,"CIR"]
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[null,"Parameters","Initial value","Estimated value"]
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[null,"Bond","Maturity","Observed Price","T-t(yrs)","B","A","Calculated Price","Error sq"]
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[]
[null,"Microsoft Excel 14.0 Answer Report"]
[null,"Worksheet: [Project.xlsx]Estimating parameters (CIR)"]
[null,"Report Created: 12/17/2012 7:59:12 PM"]
[null,"Result: Solver has converged to the current solution.  All Constraints are satisfied."]
[null,"Solver Engine"]
[null,null,"Engine: GRG Nonlinear"]
[null,null,"Solution Time: 0.015 Seconds."]
[null,null,"Iterations: 6 Subproblems: 0"]
[null,"Solver Options"]
[null,null,"Max Time Unlimited,  Iterations Unlimited, Precision 0.000001, Use Automatic Scaling"]
[null,null," Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Forward, Require Bounds"]
[null,null,"Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%"]
[]
[null,"Objective Cell (Min)"]
[null,null,"Cell","Name","Original Value","Final Value"]
[null,null,"$I$20","Error sq",3.673748023896358,2.5769761617263948E-4]
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[]
[null,"Variable Cells"]
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[null,null,"$C$11","σ Initial value",0.2,0.60395005541096336,"Contin"]
[]
[]
[null,"Constraints"]
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[null,null,null," OPTION PRICES ON ZERO -COUPON BONDS AND  COUPONS BOND "]
[]
[null,null,null,"INPUTS"]
[null,null,null,"Option type(c or p)"]
[null,null,null,"Mean reversion rate(a)",0.05,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,1]
[null,null,null,"Mean reversion(b)",4.4999999999999997E-3,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"IF(Y6=1,\"c\",\"p\")","v":"c"}]
[null,null,null,"Volatilité(v)",0.03,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"call"]
[null,null,null,"Interest rate(r)",0.08,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"put"]
[null,null,null,"Bond time to maturity(S)",3]
[null,null,null,"Option time to maturity(T)",2]
[null,null,null,"Strike price(K)",92]
[null,null,null,"Face value(L)",100]
[null,null,null,"Coupon value",100]
[null,null,null,"Coupon type(year or semiannual)",0.5]
[null,null,null,"OUTPUTS"]
[null,null,null,null,"Vasicek Model",null,"Cox-Ingersoll-Ross (CIR)"]
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[null,null,null,"Coupon bond option price",{"$f":"VasicekBondOptionValue(Y7,E6,E7,E8,E9,E10,E11,E12,E13,E14,E15)","v":3.1281251663220431}]
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[]
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[null,null,null,null,null,null,null,null,null,"T","Vasicek Model","Cox-Ingersoll-Ross (CIR)"]
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