CalCIR1f: Calibrate 1-factor CIR Model using the Maximum Likelihood...
In ZScore314/ESG: Economic Scenario Generator for Asset Modeling
Description
Usage
Arguments
Value
Description
Calibrate 1-factor CIR Model using the Maximum Likelihood Estimator
Usage
1
Arguments
dt
time step, default is monthly (1/12)
shift
optional shift to apply prior to fitting. This helps if negative values may cause errors.
data
numerical vector of time series data
Value
a named list with parameters r0 - initial value,
a - speed of mean reversion (annual), b - mean reversion level, v - annual volatility
ZScore314/ESG documentation built on Feb. 11, 2022, 12:15 a.m.
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Description Usage Arguments Value
Description
Calibrate 1-factor CIR Model using the Maximum Likelihood Estimator
Usage
1 |
Arguments
dt |
time step, default is monthly (1/12) |
shift |
optional shift to apply prior to fitting. This helps if negative values may cause errors. |
data |
numerical vector of time series data |
Value
a named list with parameters r0 - initial value, a - speed of mean reversion (annual), b - mean reversion level, v - annual volatility
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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