Description Usage Arguments Value Note Author(s) References Examples
Computes the terms A and B for the price of a zero-coupon bond under the CIR model.
1 | get.cir.param(param, tau, scalingFact = 1)
|
param |
Parameters of the CIR model: alpha,beta,sigma,q1,q2. |
tau |
Vector of maturities. |
scalingFact |
Scaling factor (default =1). |
A |
See formula in the book. |
B |
See formula in the book. |
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 | params <- get.cir.param( c(0.3,2.55,0.365,0.3,0), 1)
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