Hi guys I have data that contains the variances vt of the yields of 1, 2, 3, 4, 5,10, 20 year bonds. Assuming the Hull-White model for the yield of a t-year zero-coupon bond, I have to estimate the σ of the Hull-White model using nonlinear least squares and give a 95% confidence interval for each parameter. Please can you guys tell how to find out σ using R. Any suggestion regarding what functions to use etc would be very helpful.
Thanks -- View this message in context: http://n4.nabble.com/R-Hull-White-model-using-nonlinear-least-squares-tp949700p949700.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
