LogLikVasicek: Estimates the parameters of the Vasicek model.

In SMFI5: R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'

Description

Loglikelihood for the Vasicek model

dr = alpha(beta-r)dt + sigma dW

with market price of risk q(r) = q1 +q2 r. The time scale is in years and the units are percentages.

Usage

LogLikVasicek( theta, R, tau, days, n)

Arguments

theta	Vector of parameters: (alpha,beta,sigma,q1,q2).
R	Observed returns.
tau	Maturities.
days	Number of days in a year.
n	Length of the time series.

Value

LL	-1 x Log-likelihood (to be minimized).

Note

Translated from Matlab by David-Shaun Guay (HEC Montreal grant).

Author(s)

Bruno Remillard

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

SMFI5 documentation built on May 2, 2019, 10:25 a.m.