Version (1.35 KB) by Philip
Illustrates various methods to calculate bond prices under Vasicek model.


Updated Thu, 26 May 2016 20:28:28 +0000

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This function shows you how to calculate a bond's price when the interest rate follows the Vasicek model. The function shows the analytical solution to the ODE, it shows how solve the ODE numerically using ode45, and it shows how to solve for the bond's price using Monte Carlo simulations.

Cite As

Philip (2023). Vasicek (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes

Corrected title.