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SMFI5 (version 1.0)

R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'

Description

R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).

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Version

Install

install.packages('SMFI5')

Monthly Downloads

4

Version

1.0

License

GPL (>= 2)

Maintainer

Bruno Remillard

Last Published

May 17th, 2013

Functions in SMFI5 (1.0)

bond.cir

Simulates the values and yields of zero-coupon bonds when the spot rate is modeled by a Feller process.
LogLikOU

Estimates the parameters of the Ornstein-Uhlenbeck process.
est.feller

Estimates the parameters of the Feller process.
sim.n.chi2

Simulates a non-central chi-square variable.
get.vasicek.param

Computes the terms A and B for the price of a zero-coupon bond under the Vasicek model.
sim.cir

Simulates the Feller process.
LogLikFeller

Estimates the parameters of the Feller process.
est.cir

Estimates the parameters of the CIR model.
LogLikCIR

Estimates the parameters of the CIR model.
data.vasicek

Yields and maturities simulated from the Vasicek model.
LogLikVasicek

Estimates the parameters of the Vasicek model.
get.cir.param

Computes the terms A and B for the price of a zero-coupon bond under the CIR model.
num.jacobian

Compute the symmetric numerical first order derivatives of a multivariate function.
est.ou

Estimates the parameters of the Ornstein-Uhlenbeck process.~~
sim.vasicek

Simulates the Ornstein-Uhlenbeck process.
bond.vasicek

Simulates the values and yields of zero-coupon bonds when the spot rate is modeled by a Ornstein-Uhlenbeck process
data.cir

Yields and maturities simulated from the CIR model.
est.vasicek

Estimates the parameters of the Vasicek model. ~~