[R-SIG-Finance] HJM model (Interest rate)

Brian G. Peterson brian at braverock.com
Wed Jun 4 14:58:53 CEST 2008

Ana Patricia Martins wrote:
> Although my basic training is in statistics, I've little knowledge about
> interest rates models, and it was suggested Cox-Ingersoll-Ross process,
> 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 (1998-2007)
> doesn't works.
> Does anyone can suggest a package or other models?
> Thanks in advance your help.
> Best regards
> Ana Patrícia

Sorry for my late reply here, but here are some packages or sources you 
should consider:

The package 'termstrc' contains functions for computing bond prices of 
many different types of bonds, as well as parametric, spline, and 
Nelson-Siegel term structure models

The package 'fBonds' from RMetrics contains functions for Nelson-Siegel 
and Nelson-Siegel-Svensson term structure models

The package 'sde' implements the Ornstein-Uhlenbeck or Vasicek model

The package 'pomp' uses Markov processes to simulate univariate and 
bivariate Ornstein-Uhlenbeck or Vasicek processes.

The package 'SemiPar' implements semiparametric spline models, including 
the Jarrow-Ruppert-Yu term structure model.

Chapter 9 of David Ruppert's "Statistics in Finance" covers fixed income 
models, and his examples have all been re-worked in R and are available 
on the internet.

I'm sure that there are more, but these are the ones that come 
immediately to mind.  I am *not* aware of an R implementation of a 
Heath-Jarrow-Morton method, but that doesn't mean that one doesn't exist 
or couldn't be readily created.


   - Brian

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