Dear, r-help,

Long time reader, first time poster,

I'm working on a paper regarding a term structure estimation using the
Kalman Filter Algorithm. The model in question is the Generalized Vasicek,
and since there are coupon-bonds being estimated, I'm supposed to make some
changes on the Kalman Filter.

Does anyone has already used R for these purposes? Any tips?

Does anyone has a Kalman Filter code I could use as a starting point for an
Extended Kalman Filter Approach?

Thanks a lot for the patience and time,

Bernardo Ribeiro

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