[R-SIG-Finance] HJM model (Interest rate)
dsmith at viciscapital.com
Thu May 29 22:24:49 CEST 2008
I would say look at the Hull-White model. They even wrote a paper outlining how to implement their model, a rarity for academics. Just go to John Hull or Alan White's web page and look for the paper, or Google for it.
Christopher Finger's group at Riskmetrics recommended using this model in the MBS space. Register at the Riskmetrics web site & look for the article in 2004 or 2005.
HJM can be difficult to calibrate.
Dale Smith, Ph.D.
Vicis Capital LLC
Email: dsmith at viciscapital.com
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of markleeds at verizon.net
Sent: Thursday, May 29, 2008 3:47 PM
To: Ana Patricia Martins
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] HJM model (Interest rate)
I don't own the book so I can't say anything about it's quality but it (
see link below ) must point to packages involving such things ?
also, there is a package listing at www.r-project.org that may describe
such a package ? or even do an R archive search for Stefan Iacus,
the author of the book.
On Thu, May 29, 2008 at 3:36 PM, Ana Patricia Martins wrote:
> Dears users,
> Although my basic training is in statistics, I've little knowledge
> interest rates models, and it was suggested Cox-Ingersoll-Ross
> Ornstein-Uhlenbeck or Vasicek process or Heath-Jarrow-Morton methods.
> Does anyone know if exist HJM model in R? I can't find�
> The CIR model was considered, however based on the observed data
> doesn't works.
> Does anyone can suggest a package or other models?
> Thanks in advance your help.
> Best regards
> Ana Patr�cia
> [[alternative HTML version deleted]]
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