Questions tagged [cox-ingersoll-ross]
The Cox-Ingersoll-Ross model is a one-parameter model describing the evolution of interest rates. A square root does not allow negative interest rates.
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Implicit Scheme for Cox-Ingersoll-Ross Model PDE
I am considering the PDE for the price of a bond $V(r,t)$ with maturity $T$ under the Cox-Ingersoll-Ross model,
$$V_t+\frac12\sigma^2rV_{rr}+\nu(\theta-r)V_r-rV=0\quad r>0, t\in(0,1)$$
with ...
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How to initialize a UKF for term structures?
How I’can initialize a UKF (unscented kalman filter) in a CIR model for a Term structure of CDS spread?
Are the sample mean and sample covariance matrix the firsts values that I’ve to set in the ...
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Does my Python code correctly simulate realizations of a CIR process?
I've written the following function which should simulate realizations of a CIR process:
...
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1answer
68 views
Affine term structure for CDS
in papres such as https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2686284 (Exploring Mispricing in the Term Structure of CDS Spreads by Robert A. Jarrow, Haitao Li, Xiaoxia Ye, and May Hu) a ...
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Vasicek Short rate simulation - analytical formula vs discretization
I've been using two approaches to simulate Vasicek short rate paths and I'm wondering if one of them is more correct than the other.
The first approach is based on the analytical formula (see code ...
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2answers
70 views
How do I pricing a ZCB using CIR (Cox-Ingersoll-Ross) model
Please see the codes below
My question is about input parameters (a, b and sigma)and their calculation.
For the long term mean "b", do we use effective Fed Fund rates? or 3m T-bills?
Also, ...
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177 views
CIR model. Is there a closed-form solution or even a good proxy of analytical solution?
Is there a closed-form (analytical) solution for the Cox-Ingersoll-Ross SDE
\begin{equation}
dr_t=k_r(\theta_r-r_t)dt+\sigma_r\sqrt{r_t}dW_t\tag{1}
\end{equation}
?
Notice that $\{r_t\}$ is our ...
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1answer
59 views
Choosing which interest rate model to go with?
I've been assigned with the task of modelling zero rate curve. I did it with two models: Vasicek and CIR. Looking at the two curves produced, I can see that one is closer to the observed curve than ...
