BDT_Calibration: BDT_Calibration

Description Usage Arguments Value

Description

Calibrate the a parameters of the BDT model from the observed Yield Curve

Usage

1
BDT_Calibration(.b, .short_mkt)

Arguments

.b

- b0 parameter of the BDT model

.short_mkt

- yield curve

Value

A list with the calibrated parameter, the sum of squared residuals of the difference, the short run lattice and the element prices


claudiolucinda/FixedIncomeBR documentation built on May 23, 2019, 4:05 a.m.