[R-SIG-Finance] Cox, Ingersoll, Ross/Vasicek parameter estimation viaKalman-Filter (SSPIR)

Thomas Steiner finbref.2006 at gmail.com
Fri Apr 27 09:43:14 CEST 2007


Hi Gyadav,

I had close look at your code, I understood a lot, but not everything.
Anyway it looks nice.

Why do you execute this in a loop 10000 times? You don't want to crate
so many plot, don't you? ;)
is Years==seq(from=0,to=10,length=301) ?
Why do you do all this "rep"lication? vector+real=vector!?
Did I understand this correctly that you simulate short rates (=spot
rates) and then the corresponding yield curve? Why do you do this with
a simulation? You could calculate the term structure from you
parameters immediately!

best,
Thomas



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