This paper concentrates on valuation of interest rate. Changes in the short rate captured in a stochastic model which generates a term structure of interest rates. Leading interest rate models are Vasicek model, Cox, Ingersoll & Ross model and Heath, Jarrow and Morton model. First two model are called mean reversion of the short rate, that is, a tendency for the short rate to drift back to some underlying rate. Both models assume that the process for the short rate r is stochastic with one source of uncertainty. The two models differ in the handling of volatility. The last one model describes the forward rate evolution. The dynamics of interest rate of Lithuania has changed apace in these latter years. This can be explained by spontaneous process of resurgent economics. Because Vasicek and Cox, Ingersoll & Ross models are similar in essence, dynamics of interest rate is also similar according to these models. The received results using separate algorithms fit laws of fluctuation in interest rates of Republic of Lithuania. Problem is realized with programme equipment Microsoft Visual Basic 6.3.