SMFI5 (version 1.0)

data.cir: Yields and maturities simulated from the CIR model.

Description

Yields and maturities simulated from the CIR model, wth parameters alpha = 0.5, beta = 2.55, sigma = 0.365, q1 = 0.3, q2 = 0, h = 1/360. The maturities are 1,3,6, and 12 months.

Usage

data(data.cir)

Format

The format is: c(R,tau) = [1:1440, 1:2] 3.73 3.78 3.79 3.83 3.83 ...

Source

The program bond.cir was used to simulate these data.

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

data(data.cir)
## maybe str(data.cir) ; plot(data.cir) ...