R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'

Documentation for package ‘SMFI5’ version 1.0

bond.cir	Simulates the values and yields of zero-coupon bonds when the spot rate is modeled by a Feller process.
bond.vasicek	Simulates the values and yields of zero-coupon bonds when the spot rate is modeled by a Ornstein-Uhlenbeck process
data.cir	Yields and maturities simulated from the CIR model.
data.vasicek	Yields and maturities simulated from the Vasicek model.
est.cir	Estimates the parameters of the CIR model.
est.feller	Estimates the parameters of the Feller process.
est.ou	Estimates the parameters of the Ornstein-Uhlenbeck process.~~
est.vasicek	Estimates the parameters of the Vasicek model. ~~
get.cir.param	Computes the terms A and B for the price of a zero-coupon bond under the CIR model.
get.vasicek.param	Computes the terms A and B for the price of a zero-coupon bond under the Vasicek model.
LogLikCIR	Estimates the parameters of the CIR model.
LogLikFeller	Estimates the parameters of the Feller process.
LogLikOU	Estimates the parameters of the Ornstein-Uhlenbeck process.
LogLikVasicek	Estimates the parameters of the Vasicek model.
num.jacobian	Compute the symmetric numerical first order derivatives of a multivariate function.
sim.cir	Simulates the Feller process.
sim.n.chi2	Simulates a non-central chi-square variable.
sim.vasicek	Simulates the Ornstein-Uhlenbeck process.