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

Pedro Baltazar pedrobtz at gmail.com
Sun Apr 13 13:17:50 CEST 2014


I believe 'sde' can be used for that!

http://cran.r-project.org/web/packages/sde/index.html

Pedro

On Sun, Apr 13, 2014 at 3:21 AM, Kevin Owens <kevin.j.owens at gmail.com> wrote:
> 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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-- 
Pedro Baltazar



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