3 .m files, 1) simulates a term structure using the CIR model, 2-3) take this simulation and estimates the parameters of the model.
also includes a set of results, take mean() and std() of this to see how good the filter is.
If the implementation is good, the inputs should equal the outputs, run this 200 times.
For details see;
Ren-Raw Chen and Louis Scott, “Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model,” The Journal of Real Estate Finance and Economics 27, no. 2 (2003): 143-172.
Please comment or leave suggestions.
thanks bill, submission #27493 is included in the BSD