Description Usage Arguments Details Value Examples
vsk
creates a vasicek model object.
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q0 |
Numeric. Initial value of rate. Optional if index_histo or q_histo is given. |
a |
Numeric. Speed of reversion. Optional if index_histo or q_histo is given. |
b |
Numeric. Long-term mean for the model. Optional if index_histo or q_histo is given. |
horizon |
Numeric. Projection horizon. Default to 50. |
nsimul |
Numeric. Number of simulations. Default to 1000. |
sigma |
Numeric. Periodic volatility. Optional if index_histo or q_histo is given. |
index_histo |
Vector. History of the index to modelize. Optional if q0, a, b, sigma or q_histo is given. All values from the intervall must be given. Any missing value should be set to NA. |
q_histo |
Vector. History of rates to modelize. Optional if q0, a, b, sigma or index_histo is given. All values from the intervall must be given. Any missing value should be set to NA. |
W |
Matrix. Projection of the asset via a normal distribution. Optional. |
The rate at time t is computed as log(Index_t/Index_t-1)
The model as a class.
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