Aug
8

## R-code for Vasicek estimation

A short-rate model is usually calibrated to some initial structures in the market, typically the initial yield curve, the caps volatility surface, the swaptions volatility surface, and possibly other products, thus determining the model parameters. Vasicek, Cox Ingersoll Ross (CIR), Dothan, for instance, are among the frequently-used short-rate models. The strength of Vasicek model is analytical bond prices and analytical option prices can be obtained and easily calculatied, however, negative short rates are also possible with positive probability.

R code can be downloaded at http://www.math.ku.dk/~rolf/teaching/mfe04/MiscInfo.html#Code

wiki(Vasicek model)

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

World Changing Mathematical Discoveries

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

Value at Risk xls

Random posts:

14 Critical Lessons Every Trader Should Know

Real option case study

On-Line Options Pricing & Probability Calculators

Swaption valuation

Calibrating the Ornstein-Uhlenbeck model

R code can be downloaded at http://www.math.ku.dk/~rolf/teaching/mfe04/MiscInfo.html#Code

wiki(Vasicek model)

**People viewing this post also viewed:**

Hot posts:

Random posts:

abiao

2008/08/12 21:41 [Add/Edit reply] [Clear reply] [Del comment] [Block]

Vasicek model is simple to implement.

Pages: 1/1 1