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

Thomas Steiner finbref.2006 at gmail.com
Wed Jun 4 18:12:30 CEST 2008

I agree, very good directions to go.

Just as personal code, I craeted this and some other pictures for
wikipedia: http://commons.wikimedia.org/wiki/Image:Zins-Vasicek.png
where you find the R code as well. let me know if you need eg CIR or
others (jumps?) as well. (see Svensson at
http://commons.wikimedia.org/wiki/Image:Zinsstruktur.png, CIR at

And HJM is a framework, not a model. You will decide something on the
shape of the forward rate curve (eg Svensson, but then the is just one
(!) source of randomness possible if you want to be consistent (too
complicated for me...).


2008/6/4, Brian G. Peterson <brian at braverock.com>:
> 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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