Kalman Filter Application CIR

Version 1.0.0.0 (25.1 KB) by Nils Delava
Estimates the parameters of the CIR model on a generated term structure
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2K Downloads
Updated 23 May 2010

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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;

http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdf
and/or
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.
etc.

Please comment or leave suggestions.
thanks bill, submission #27493 is included in the BSD

Cite As

Nils Delava (2024). Kalman Filter Application CIR (https://www.mathworks.com/matlabcentral/fileexchange/27704-kalman-filter-application-cir), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Kalman Filter Application

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Version Published Release Notes
1.0.0.0