[R-SIG-Finance] HJM models (Forward Rates)

[Thomas Steiner]

You asked this question already on may 28, right?
http://www.nabble.com/HJM-model-(Interest-rate)-td17544218.html
thomas



2008/5/9 Ana Patricia Silva Cunha Martins (DGR)
<ana.cunha.martins at caixaseguros.pt>:
> All users,
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> 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.
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> Does anyone know if exist HJM model in R? I can't find....
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> The CIR model was considered, however based on the observed data (1998-2007) doesn't works.
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> Does anyone can suggest a package or other models?
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> Thanks in advance your help.
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> Best regards
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> Ana Patrícia
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