Nothing
get.cir.param <-
function(param, tau, scalingFact = 1 ){
# This function computes the terms A and B for the price of a zero-coupon
# bond under the CIR model.
sqrtScalingFact <- sqrt( scalingFact )
alpha <- param[1]
beta <- param[2] / scalingFact
sigma <- param[3] / sqrtScalingFact
q1 <- param[4] / sqrtScalingFact
q2 <- param[5] * sqrtScalingFact
a <- alpha + q2 * sigma
b <- ( alpha * beta - q1 * sigma ) / a
gam <- sqrt( a^2 + 2 * sigma^2 )
d <- 1 - exp( - gam * tau )
B <- d / ( 0.5 * ( gam + a ) * d + gam * ( 1 - d ) )
A <- - ( 2 * a * b / sigma^2 ) * ( 0.5 * ( gam - a ) * tau + log( 0.5 * ( 1 + a / gam ) * d + ( 1 - d ) ) )
return(list(A=A, B=B, a=a, b=b))
}
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