Irates: Monthly Interest Rates

In Sim.DiffProc: Simulation of Diffusion Processes

Monthly Interest Rates

Description

monthly observations from 1946–12 to 1991–02

number of observations : 531

observation : country

country : United–States

Usage

data(Irates)

Format

A time serie containing :

r1

interest rate for a maturity of 1 months (% per year).

r2

interest rate for a maturity of 2 months (% per year).

r3

interest rate for a maturity of 3 months (% per year).

r5

interest rate for a maturity of 5 months (% per year).

r6

interest rate for a maturity of 6 months (% per year).

r11

interest rate for a maturity of 11 months (% per year).

r12

interest rate for a maturity of 12 months (% per year).

r36

interest rate for a maturity of 36 months (% per year).

r60

interest rate for a maturity of 60 months (% per year).

r120

interest rate for a maturity of 120 months (% per year).

Source

McCulloch, J.H. and Kwon, H.C. (1993). U.S. term structure data, 1947–1991, Ohio State Working Paper 93–6, Ohio State University, Columbus

These datasets Irates are in package "Ecdat".

References

Croissant, Y. (2014). Ecdat: Data sets for econometrics. R package version 0.2–5.

Examples

data(Irates)
rates <- Irates[,"r1"]
rates <- window(rates, start=1964.471, end=1989.333)

## CKLS modele vs CIR modele 
## CKLS :  dX(t) = (theta1+theta2* X(t))* dt + theta3 * X(t)^theta4 * dW(t)

fx <- expression(theta[1]+theta[2]*x)
gx <- expression(theta[3]*x^theta[4])
fitmod <- fitsde(rates,drift=fx,diffusion=gx,pmle="euler",start = list(theta1=1,theta2=1,
                  theta3=1,theta4=1),optim.method = "L-BFGS-B")
theta <- coef(fitmod)
	
N <- length(rates)
res <- snssde1d(drift=fx,diffusion=gx,M=1000,t0=time(rates)[1],T=time(rates)[N],
                Dt=deltat(rates),x0=rates[1],N=N)

plot(res,type="n",ylim=c(0,35))
lines(rates,col=2,lwd=2)
lines(time(res),apply(res$X,1,mean),col=3,lwd=2)
lines(time(res),apply(res$X,1,bconfint,level=0.95)[1,],col=4,lwd=2)
lines(time(res),apply(res$X,1,bconfint,level=0.95)[2,],col=4,lwd=2)
legend("topleft",c("real data","mean path",
  paste("bound of", 95," confidence")),inset = .01,
  col=2:4,lwd=2,cex=0.8)

Sim.DiffProc documentation built on May 29, 2024, 8:09 a.m.