Description Usage Arguments Details Value Author(s)
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
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