vasicekPrice: There are three main types of yield curve shapes: normal,...

Description Usage Arguments Details Value Author(s)

View source: R/discountFactorArbitrage.R

Description

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

Usage

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

Arguments

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

Details

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

Value

zero coupon bond price estimated from Vasicek model

Author(s)

Thomas Fillebeen


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