Ho/Lee solver
Calibrate m
1
with one-year bond price 95.00, two-year bond price 90.00, and volatility 200 bps.
$$\begin{aligned}\text{m1 solves: }P(m_1)&=\frac{1}{1.05263}\left[\frac{0.5\cdot100}{1.07263+m_1}+\frac{0.5\cdot100}{1.03263+m_1}\right]\\&=90.00\end{aligned}$$
\(\text{Simplifies to: } f(m_1)=94.73670\,m_1^2+99.44539\,m_1-0.32980=0\)
One-Year Bond Price
95.00
Two-Year Bond Price
90.00
Volatility (bps)
200
Reset default inputs
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Lower root m
1
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Upper root m
1
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