# R-code for Vasicek estimation

**Quantitative Finance Collector**, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

A short-rate model is usually calibrated to some initial structures in the market, typically the initial yield curve, the caps volatility surface, the swaptions volatility surface, and possibly other products, thus determining the model parameters. Vasicek, Cox Ingersoll Ross (CIR), Dothan, for instance, are among the frequently-used short-rate models. The strength of Vasicek model is analytical bond prices and analytical option prices can be obtained and easily calculatied, however, negative short rates are also possible with positive probability.

R code can be downloaded at http://www.math.ku.dk/~rolf/teaching/mfe04/MiscInfo.html#Code

wiki(Vasicek model)

Tags – vasicek , cox ingersoll ross**Read the full post at R-code for Vasicek estimation**.

**leave a comment**for the author, please follow the link and comment on their blog:

**Quantitative Finance Collector**.

R-bloggers.com offers

**daily e-mail updates**about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.