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 <[email protected]> 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 > > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. -- Pedro Baltazar _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
