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I have make an optimization program using the lsqnonlin function but I have some problem with it. function F = myfun(lamda) %-------------------------------------------------------------------------- % @description: Attempt to estimate the parameter of the market price %model...

i have a diffusion process with nonlinear drift on the form: (\mu(dt) = (\alpha1+\alpha2*x+\alpha3*(x2)+\alpha4/x) dt) i have simulate the drift on matlab but the graph i get is empty . this is the program clf load TRB.txt % Load Data X = TRB(1:T,1)/100; T = rows(TRB); N = 2087; Delta = 1/T...

HI I'm a Ph D in finance. My research is about interest rate term structure modeling. My database is the united states yield curve. For the estimation of the short term interest rate process, I use the 3 month treasury bill rate from the FRED SITE WEB. This rate is a discount rate. I want to...

ah! yes i have put it in the original code.

what do you mean?

Ralpha =@(lamda) this is to specify that Ralpha is function of lamda. and (beta -(lamda*sigma)/alpha)-(sigma.^2)/(2*(alpha.^2)); is the function form.

write; F = @(lambda,xdata,Ralpha,r,beta,sigma) Ralpha +((1-exp(-beta*xdata))/(beta*xdata))*(r-Ralpha)+... ((sigma.^2)/(4*(beta.^3)*xdata)*((1-exp(-xdata)).^2)); This way you are saying, F is a function of lambda, xdata, Ralpha, etc. i have do it and i have run the program but i get the...

%-------------------------------------------------------------------------- % @description: Attempt to estimate the parameter of the market price % of risk, lamda of the Vasicek model 1977 of the term structure %model of yields. We do this by using curve fitting to the observed...

inspired from the program you have make on mathematica. i have try to make the same for an other model. please verify if it is true or false. the model has the form: R(T) = (B(T) / T) * r0-[(( theta + gamma) / 2* beta * apha)* (In (A(T)) / T] with gamma = beta - lamda * simga theta =...

thank you very very much for your reply. i don't have mathematica but i have matlab. i will try to covert this program to matlab language

thank you very much for your relply. you have raison, i have missed a part of the formula of R(T):-ssand also the value of r0 R(T) = (beta - ((lamda * sigma)/ alpha)- ((sigma^2)/ (2*(alpha^2))) + (r0 - (beta - ((lamda * sigma)/ alpha)- ((sigma^2)/ (2*(alpha^2))) *( 1- exp (- beta*T))/ (beta...

i have the following function: R(T) = beta - ((lamda * sigma)/ alpha) + (r0 - (beta - ((lamda * sigma)/ alpha)) *( 1- exp (- beta*T))/ (beta *T) + ( (sigma^2)*(1- exp (- beta*T))^2)/ (4*(beta^3)*T) where lamda is the only unknown because alpha, beta et sigma are already estimated using GMM...

thank you very much for your reply. i have seen the program " YieldCurveFitVasicek". this program as i have understood estiamte the paremeters of the short term interest rate process (theta; kappa;and eta) by fitting the vasicek model to the market data. But im my research i have estimated these...

i want to estimate the market price of risk of the interest rate term structure l, for the vasicek(1979), Cox Ingersoll and Ross (1985) and CKLS (1992) models by minimizing the deviation of the implied yield curve from the average zero-coupon yield over the sample. please can you provide me with...

please can you post the matlab code here. i need it. i will be very grateful. Thank you very much .

first af all thanks for your reply. but in my approach i will estimate the market price of risk l by minimizing the deviation of the implied yield curve from the average zero-coupon yield over the sample.

i want to estimate the market price of risk of the interest rate term structure for the vasicek(1979), Cox Ingersoll and Ross (1985) and CKLS (1992) models. Please can you help me.:prayer:

hy quantnet community, i'm glad to be a member from your community. i hope to learn something from here