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Medium · options_pricing · Quant Researcher interview question · vasicek, interest_rate_model, bond_pricing, fixed_income
The Vasicek model describes the evolution of the instantaneous short rate as a mean-reverting stochastic process. It is a one-factor equilibrium model widely used in quantitative finance for pricing interest rate derivatives like zero-coupon bonds. The model's closed-form solution for bond prices makes it analytically tractable and valuable for fixed-income analysis and risk management. Task Implement the function vasicek_bond_price(r0: float, a: float, b: float, sigma: float, T: float) -> floa