  We present a short rate model that satisfies a stochastic delay differential
equation. The model can be considered a delayed version of the Merton model
(Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977). Using the same
technique as the one used by Flore and Nappo (2019), we show that the bond
price is an affine function of the short rate, whose coefficients satisfy a
system of delay differential equations. We give an analytical solution to this
system of delay differential equations, obtaining a closed formula for the zero
coupon bond price. Under this model, we can show that the distribution of the
short rate is a normal distribution whose mean depends on past values of the
short rate. Based on the results of K\"uchler and Mensch (1992), we prove the
existence of stationary and limiting distributions.
