Changing Interest rate plays an significant important role in  In financial simulation. I've develop the this model in R. This model reference from wikipedia.org "a" refer to the speed of interest rate revert back to long term mean rate "b" "dt" refer to interval time, sigma refer to implied volatility for changing interest rate , "dWt" refer to the changing dist for interest rate . For implement this model, I simply construct a list ,and generate rates push in to the list via Read more [...]