Skip to content
Prev 12318 / 15274 Next

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