Kalman Filter Application two factor CIR
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 .
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- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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