vasicek.discrete: Vasicek yield model in discrete time
In gsk3/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
gsk3/maRketSim documentation built on May 17, 2019, 8:55 a.m.
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.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.