| 1 | """ir.py: Script that compares various Interest Rate term structure models. |
| 2 | |
| 3 | A common model used in the financial industry for modelling the short rate (think overnight rate, but actually an infinitesimally short amount of time) is the Vasicek model. # |
| 4 | Although it is unlikely to perfectly fit the yield curve, it has some nice properties that make it a good model to work with. |