All users,

 

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


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