Man pages for SMFI5
R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'

bond.cirSimulates the values and yields of zero-coupon bonds when the...
bond.vasicekSimulates the values and yields of zero-coupon bonds when the...
data.cirYields and maturities simulated from the CIR model.
data.vasicekYields and maturities simulated from the Vasicek model.
est.cirEstimates the parameters of the CIR model.
est.fellerEstimates the parameters of the Feller process.
est.ouEstimates the parameters of the Ornstein-Uhlenbeck process.~~
est.vasicekEstimates the parameters of the Vasicek model. ~~
get.cir.paramComputes the terms A and B for the price of a zero-coupon...
get.vasicek.paramComputes the terms A and B for the price of a zero-coupon...
LogLikCIREstimates the parameters of the CIR model.
LogLikFellerEstimates the parameters of the Feller process.
LogLikOUEstimates the parameters of the Ornstein-Uhlenbeck process.
LogLikVasicekEstimates the parameters of the Vasicek model.
num.jacobianCompute the symmetric numerical first order derivatives of a...
sim.cirSimulates the Feller process.
sim.n.chi2Simulates a non-central chi-square variable.
sim.vasicekSimulates the Ornstein-Uhlenbeck process.
SMFI5 documentation built on May 30, 2017, 1:51 a.m.