Kalman Filter Application two factor CIR

Version 1.0.0.0 (39.8 KB) by Nils Delava
Estimates the parameters of the two factor CIR model on the UK German, and US term structures.
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Updated 23 May 2010

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2 .m files, 3 xls files with data from German, US, UK zero coupon bonds.
Files estimate the parameters on these bonds, the optimizer doesn't really work that well for this problem, so if some-one has a solution, please let me know.

For details of methodology 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, 27493

Cite As

Nils Delava (2024). Kalman Filter Application two factor CIR (https://www.mathworks.com/matlabcentral/fileexchange/27705-kalman-filter-application-two-factor-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

Inspired: similarity solution

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Version Published Release Notes
1.0.0.0