Description Usage Arguments Details Value Author(s)

View source: R/discountFactorArbitrage.R

Estimate Vasicek zero-coupon bond to be used in term structure

1 | ```
vasicekPrice(r, k, theta, sigma, maturity)
``` |

`r` |
initial short rate |

`k` |
speed of reversion parameter |

`theta` |
long-term reversion yield |

`sigma` |
randomness parameter. Modelled after Brownan Motion |

`maturity` |
maturity of the bond |

This function calculates the Vasicek Price given an initial data calibration The function is a subfunction for yieldCurveVasicek

zero coupon bond price estimated from Vasicek model

Thomas Fillebeen

GARPFRM documentation built on May 31, 2017, 3:46 a.m.

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.