- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 27. The Arbitrage-Free Valuation Framework
- Subject 6. Term Structure Models
CFA Practice Question
In the Vasicek model, dr = a(b-r)dt + σ dz, the speed of reversion is:
B. b
C. dz
A. a
B. b
C. dz
Correct Answer: A
It characterizes the velocity at which such trajectories will regroup around b in time.
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