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Copy pathCIR_Calibration_Projections.txt
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CIR_Calibration_Projections.txt
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[1] "Cox-Ingersoll-Ross Project"
Discrete Drift Term (Da)[1] 0.9995604
Discrete Volatility (Dsigma)[1] 0.04256276
Continuous Drift (a)[1] 0.0004397142
Continuous Volatility (sigma)[1] 0.04257212
Long-Run Average (b)[1] 2.812897
RSS[1] 5.413027
Number of Entries (N)[1] 2989
Length of Projection (ncap)(Days)[1] 365
Expected Value of Forecasted Interest Rate E[x(T)|x(t)][1] 4.224287
Variance of Forecasted Interest Rate Var[x(T)|x(t)][1] 2.454279
[1] "Estimate of Interest Rate"
[1] 3.367591
[1] 6.260855
[1] 4.199553
Estimate of Interest Rate (mean)[1] 4.609333
'data.frame': 369 obs. of 3 variables:
$ Date : Factor w/ 369 levels "1/1/1954","1/1/1955",..: 1 122 153 184 215 246 277 308 339 32 ...
$ Counter: int 1 2 3 4 5 6 7 8 9 10 ...
$ Data : num 1.02 1 1.03 0.81 0.72 0.64 0.79 1.05 0.99 1 ...
Date Counter Data
1/1/1954: 1 Min. : 1 Min. : 0.580
1/1/1955: 1 1st Qu.: 93 1st Qu.: 3.040
1/1/1956: 1 Median :185 Median : 4.720
1/1/1957: 1 Mean :185 Mean : 5.468
1/1/1958: 1 3rd Qu.:277 3rd Qu.: 7.300
1/1/1959: 1 Max. :369 Max. :15.520
(Other) :363
The following object is masked from InterestRates (position 3):
Counter, Data, Date
The following object is masked from InterestRates (position 4):
Counter, Data, Date
The following object is masked from InterestRates (position 5):
Counter, Data, Date
The following object is masked from InterestRates (position 6):
Counter, Data, Date
The following object is masked from InterestRates (position 9):
Counter, Data, Date
The following object is masked from InterestRates (position 10):
Counter, Data, Date
The following object is masked from InterestRates (position 11):
Counter, Data, Date
The following object is masked from InterestRates (position 12):
Counter, Data, Date
The following object is masked from InterestRates (position 13):
Counter, Data, Date
The following object is masked from InterestRates (position 14):
Counter, Data, Date
The following object is masked from InterestRates (position 15):
Counter, Data
The following object is masked from InterestRates (position 16):
Counter, Data, Date
The following object is masked from InterestRates (position 18):
Counter, Data
[1] "Date" "Counter" "Data"
$minimum
[1] 18.91769
$estimate
[1] 0.9903684
$gradient
[1] 0
$hessian
[,1]
[1,] 1991.701
$code
[1] 1
$iterations
[1] 2
null device
1