get.vasicek.param: Computes the terms A and B for the price of a zero-coupon...

Description Usage Arguments Value Note Author(s) References Examples

Description

Computes the terms A and B for the price of a zero-coupon bond under the Vasicek model.

Usage

1
get.vasicek.param(param, tau, scalingFact = 1)

Arguments

param

Parameters of the Vasicek model: alpha,beta,sigma,q1,q2.

tau

Vector of maturities.

scalingFact

Scaling factor (default =1).

Value

A

See formula in the book.

B

See formula in the book.

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).

Examples

1
2
params <- get.vasicek.param( c(0.3,2.55,0.365,0.3,0), 1)
  

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