SMFI5 (version 1.0)

get.cir.param: Computes the terms A and B for the price of a zero-coupon bond under the CIR model.

Description

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

Usage

get.cir.param(param, tau, scalingFact = 1)

Arguments

param

Parameters of the CIR model: alpha,beta,sigma,q1,q2.

tau

Vector of maturities.

scalingFact

Scaling factor (default =1).

Value

A

See formula in the book.

B

See formula in the book.

References

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

Examples

params <- get.cir.param( c(0.3,2.55,0.365,0.3,0), 1)