Description Usage Arguments Value Note Author(s) References Examples
Estimates the parameters of the CIR model
dr = alpha(beta-r)dt + sigma sqrt(r) dW
with market price of risk q(r) = q1/sqrt(r) +q2 sqrt(r). The time scale is in years and the units are percentages.
1 |
data |
c(R,tau) (n x 2), with R: annual bonds yields in percentage, and tau: maturities in years. |
method |
'Hessian' (default), 'num'. |
days |
Number of days per year (default: 360). |
significanceLevel |
95%(default). |
theta |
Parameters (alpha, beta, sigma, q1,q2) of the model. |
error |
Estimation errors for the given confidence level. |
rimp |
Implied spot rate. |
Translated from Matlab by David-Shaun Guay (HEC Montreal grant).
Bruno Remillard
Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).
1 2 |
Loading required package: ggplot2
Loading required package: reshape
Loading required package: corpcor
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The estimated coefficients correspond to the annualized spot rate (##)
Fisher information computed with the numerical gradient (Appendix B.5.1)
alpha = 0.5092 /+ 1.0909
beta = 2.4562 /+ 1.3785
sigma = 0.3486 /+ 0.0203
q1 = 0.3244 /+ 9.3209
q2 = -0.2471 /+ 3.3111
phi = 0.9986, phiest = 0.9986 /+ 0.0030
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