Description Usage Arguments Value Note Author(s) References Examples
Estimates the parameters of 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.
1 | est.vasicek(data, method = "Hessian", days = 360, significanceLevel = 0.95)
|
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 | data(data.vasicek)
out = est.vasicek(data.vasicek)
|
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 Hessian from fminunc (Appendix B.5.1)
alpha = 1.3121 /+ 1.1887
beta = 2.6406 /+ 0.3527
sigma = 0.3642 /+ 0.0219
q1 = 6.7429 /+ 9.6834
q2 = -2.2965 /+ 3.3394
phi = 0.9986, phiest = 0.9964 /+ 0.0033
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