Trying to figure this out. Developing a pricing equation for a coupon bond with variable interest rate. dP/dt - r(t)P(t) = c[d(t-t_0)] where: P(t) = price at t r(t) = rate of interest c = coupon amount ? Have fun
Piece o'cake. Try the forum at wilmott.com. Almost as many registered users as ET, except they eat, drink and sleep this stuff.