vasicek.discrete: Vasicek yield model in discrete time
In maRketSim: Market simulator for R
Description
Usage
Arguments
Value
Description
Classic Vasicek model
Usage
1
vasicek.discrete(mu, sigma, h, phi, r.initial, N)
Arguments
mu
what the short term rate converges to
sigma
SD of the forecast (determines step size)
h
time per period
phi
determines mean reversion
r.initial
initial rate
N
number of periods total to run the simulation
Value
vasicek.discrete object
maRketSim documentation built on May 29, 2017, 10:54 p.m.
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Description Usage Arguments Value
Description
Classic Vasicek model
Usage
1 | vasicek.discrete(mu, sigma, h, phi, r.initial, N)
|
Arguments
mu |
what the short term rate converges to |
sigma |
SD of the forecast (determines step size) |
h |
time per period |
phi |
determines mean reversion |
r.initial |
initial rate |
N |
number of periods total to run the simulation |
Value
vasicek.discrete object
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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