[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.
Regards,
- Brian
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