[R-SIG-Finance] do any packages exist with short rate bond pricing models?

Kevin Owens kevin.j.owens at gmail.com
Sun Apr 13 04:21:51 CEST 2014


I know short rate models aren't very realistic, but I'm interested in 
using a short rate model for the purposes of prototyping. By short rate 
model I mean a Vasicek(sp?) or CIR model. I could find the formulas and 
program it if I had to, but I would think this has to be in a package 
somewhere. I haven't seen it in the packages on the empirical finance 
page, but maybe I missed it. Does anyone know if these are already in a 
package somewhere?

Thank you,

Kevin



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