I'm trying to use the Kalman filter to calibrate a G2++ interest rate model in R. I'm reading "Implementing interest rate models: A practical guide" by Park F.C. (2004) where he provides details on how to set it up. Although I can follow the equations described in the paper I'm lacking the understanding of how everyhting is combined together and the order I should follow in order to calibrate the G2++ model parameters. I would be greatful if someone can provide a schematic or pseudo-code that either follows this paper or any other relevant one.

  • $\begingroup$ Have you checked the answer to this question? stats.stackexchange.com/questions/484572/… $\endgroup$
    – gte
    Commented Aug 27, 2020 at 16:17
  • $\begingroup$ I just stumbled across this 4 years later. Do you perhaps have the paper of Park still somewhere? I can't find it anywhere on the internet. I did find an implementation of Heston calibration with Kalman filters: gormgeier.com/blog/2015/03/…. In any case, I would be grateful if you could direct me towards the original Park paper you reference. :-) $\endgroup$ Commented Apr 24 at 6:49


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