Vasicek (1977) was the first short-rate model to produce a closed-form bond price. Take the same Ornstein-Uhlenbeck SDE you used for pairs-trade spread reversion, reinterpret $r_t$ as the instantaneous interest rate, and the zero-coupon bond price $P(t,T)$ becomes an affine function of $r_t$ — with coefficients that are themselves closed forms in the OU parameters. The model has one famous flaw (Gaussian dynamics admit negative rates), but the affine machinery it pioneered is the parent of every short-rate model in production today.
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Worked example
Today the short rate is $r_0 = 5\%$. Under Vasicek, the SDE is $dr_t = \kappa(\theta - r_t)\,dt + \sigma\,dW_t$ with $\kappa = 0.3$, $\theta = 0.06$, $\sigma = 0.02$ (continuously-compounded, annual units). What is the price today of a zero-coupon bond maturing at $T = 5$ years, and what is the implied yield?
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Reflection
Vasicek admits negative rates because the OU diffusion is constant rather than proportional to $\sqrt{r}$. Why did that not stop the model from being used for decades, and what changed in markets that made the negative-rate concern less theoretical?