[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
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.
More information about the R-SIG-Finance