yieldCurveVasicek: Estimate Vasicek zero-coupon yield

Description Usage Arguments Value Author(s)

View source: R/discountFactorArbitrage.R

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 31, 2017, 3:46 a.m.