[R] R + Hull-White model using nonlinear least squares

[David Winsemius]

On Dec 6, 2009, at 1:08 PM, king123 wrote:

>
> Hi guys
> I have data that contains the variances vt of the yields of 1, 2, 3,  
> 4,
> 5,10, 20 year bonds. Assuming the Hull-White model for the yield of  
> a t-year
> zero-coupon bond, I have to estimate the σ of the Hull-White model  
> using
> nonlinear least squares and give a 95% confidence interval for each
> parameter. Please can you guys tell how to find out σ using R. Any
> suggestion regarding what functions to use etc would be very helpful.

RSiteSearch("hull-white")  # would seem to be the  blindingly obvious  
starting point.

After that you should probably:
a) read the Posting Guide, and
b) try consulting your instructor.

-- 

David Winsemius, MD
Heritage Laboratories
West Hartford, CT