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Medium · options_pricing · Quant Researcher interview question · cir, interest_rate_model, bond_pricing, fixed_income
The Cox-Ingersoll-Ross (CIR) model is a mean-reverting, square-root diffusion process used to model the evolution of the short-term interest rate. It guarantees non-negative rates, making it a standard framework in quantitative finance for pricing interest rate derivatives and analyzing yield curves. This problem involves implementing the closed-form solution for a zero-coupon bond under the CIR model. Task Implement the function cir_bond_price(r0, a, b, sigma, T) to calculate the price of a ze