  We consider a general one-factor short rate model, in which the instantaneous
interest rate is driven by a univariate diffusion with time independent drift
and volatility. We construct recursive formula for the coefficients of the
Taylor expansion of the bond price and its logarithm around $\tau=0$, where
$\tau$ is time to maturity. We provide numerical examples of convergence of the
partial sums of the series and compare them with the known exact values in the
case of Cox-Ingersoll-Ross and Dothan model.

Computational Finance