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Short rate model to an entire yield curve

Pintos Lautaro

Pintos Lautaro

Joined
12/26/20
Messages
2
Points
11
Hi guys, ¿i´m wondering if someone apply a short rate model (ie. Vasicek model) to an entire yield curve? I know that the input is just one spot rate but ¿what if i want to apply to all the rates in the curve? ¿How can i be sure to capture all the correlation?

Thanks!
 

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