On Dec 6, 2009, at 1:08 PM, king123 wrote:
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.
RSiteSearch("hull-white") # would seem to be the blindingly obvious
starting point.
After that you should probably:
a) read the Posting Guide, and
b) try consulting your instructor.
--
David Winsemius, MD
Heritage Laboratories
West Hartford, CT
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