
This is the paper which i used to implement vasicek model please have a 
look at it :-) cheers
http://finance.wharton.upenn.edu/~benninga/mma/MiER72.pdf

yeah you are right its not needed that was just i wanted to see some 
dance. Please edit the code whereever necessary and i am really sorry for 
giving you not the exact code. i will see if i can find it. If you have 
any other problems in the code then let me know :-) 





Hi Gyadav,
+++++++++++
Why do you execute this in a loop 10000 times? You don't want to crate
so many plot, don't you? ;)
@@@ you are right you dont require i just wanted to see the dance of the 
process
is Years==seq(from=0,to=10,length=301) ?

@@@ from the sde.sim help
"The function returns a ts object of length N+1, i.e. X0 and the new N 
simulated values if M=1. For M>1 a mts (multi-dimensional ts object) is 
returned, which means that M independent trajectories are simulated. If 
the initial value X0 is not of the length M, the values are recycled in 
order to have an initial vector of the correct length. If delta is not 
specified, then delta = (T-t0)/N. If delta is specified, then N values of 
the solution of the sde are generated and the time horizon T is adjusted 
to be N * delta. "

Why do you do all this "rep"lication? vector+real=vector!?

Did I understand this correctly that you simulate short rates (=spot
rates) and then the corresponding yield curve? 
@@@ yeah correct i did that only and successfully :-) after that i started 
experimenting with the code
@@@ please edit the code wherever it is having problem and i apologize for 
that again, after that i moved on to some other topic... as i am still 
novice and trying to learn as many thing as possible. :-)

Why do you do this with
a simulation? You could calculate the term structure from you
parameters immediately!
@@@ Correct :-)
regards
-gaurav

best,
Thomas



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