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What is the major difference between Vasicek model and Extended Vasicek model?
Vasicek model is an equilibrium model , meaning that it produces an endogeneous term structure. Current term structure of interest rates is an output of this model. while Extended Vasicek or Hull white model is a no-arbitrage model, meaning that it produces and exogeneous term structure. Current term structure of interest rates is an input of this model.
