do any packages exist with short rate bond pricing models?
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