Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes

Table 3

Market domestic (USD) and foreign (EUR) interest rates on June 13, 2005 (original source of data: Banca Caboto S.p.A., Gruppo Intesa, Milano).

Rates
1 M	3.14%	2.09%
2 M	3.22%	2.09%
3 M	3.32%	2.10%
6 M	3.50%	2.09%
9 M	3.60%	2.09%
1 Y	3.68%	2.09%
2 Y	4.02%	2.19%