yieldCurveVasicek: Estimate Vasicek zero-coupon yield
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Value
Author(s)
Description
This function calculates the Vasicek yield given an initial data calibration
Usage
1
yieldCurveVasicek(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 Brownian Motion
maturity
maturity of the bond
Value
yield curve estimate from Vasicek model
Author(s)
Thomas Fillebeen
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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Description Usage Arguments Value Author(s)
Description
This function calculates the Vasicek yield given an initial data calibration
Usage
1 | yieldCurveVasicek(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 Brownian Motion |
maturity |
maturity of the bond |
Value
yield curve estimate from Vasicek model
Author(s)
Thomas Fillebeen
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.
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