Message-ID: <5349F4BF.7030005@gmail.com>
Date: 2014-04-13T02:21:51Z
From: Kevin Owens
Subject: 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