Sim.DiffProc (version 4.9)

Irates: Monthly Interest Rates

Description

monthly observations from 1946--12 to 1991--02

number of observations : 531

observation : country

country : United--States

Usage

data(Irates)

Format

A time serie containing :

r1

interest rate for a maturity of 1 months (% per year).

r2

interest rate for a maturity of 2 months (% per year).

r3

interest rate for a maturity of 3 months (% per year).

r5

interest rate for a maturity of 5 months (% per year).

r6

interest rate for a maturity of 6 months (% per year).

r11

interest rate for a maturity of 11 months (% per year).

r12

interest rate for a maturity of 12 months (% per year).

r36

interest rate for a maturity of 36 months (% per year).

r60

interest rate for a maturity of 60 months (% per year).

r120

interest rate for a maturity of 120 months (% per year).

References

Croissant, Y. (2014). Ecdat: Data sets for econometrics. R package version 0.2--5.

Examples

data(Irates)
rates <- Irates[,"r1"]
rates <- window(rates, start=1964.471, end=1989.333)

## CKLS modele vs CIR modele 
## CKLS :  dX(t) = (theta1+theta2* X(t))* dt + theta3 * X(t)^theta4 * dW(t)

fx <- expression(theta[1]+theta[2]*x)
gx <- expression(theta[3]*x^theta[4])
fitmod <- fitsde(rates,drift=fx,diffusion=gx,pmle="euler",start = list(theta1=1,theta2=1,
                  theta3=1,theta4=1),optim.method = "L-BFGS-B")
theta <- coef(fitmod)
	
N <- length(rates)
res <- snssde1d(drift=fx,diffusion=gx,M=1000,t0=time(rates)[1],T=time(rates)[N],
                Dt=deltat(rates),x0=rates[1],N=N)

plot(res,type="n",ylim=c(0,35))
lines(rates,col=2,lwd=2)
lines(time(res),apply(res$X,1,mean),col=3,lwd=2)
lines(time(res),apply(res$X,1,bconfint,level=0.95)[1,],col=4,lwd=2)
lines(time(res),apply(res$X,1,bconfint,level=0.95)[2,],col=4,lwd=2)
legend("topleft",c("real data","mean path",
  paste("bound of", 95," confidence")),inset = .01,
  col=2:4,lwd=2,cex=0.8)