Affine IR model, GFJ

Published: 21 August 2025| Version 1 | DOI: 10.17632/wjfhkznxwc.1
Contributor:
Marcos Escobar-Anel

Description

These MATLAB scripts estimate and simulate CIR, and AR(1) models as well as a new Affine model for interest rate introduced in the paper "Analytical Fixed Income Pricing in Discrete-time: A New Family of Models". Each file has explanations of what it does. There are two data files included, both associated to the paper.

Files

Institutions

  • Western University

Categories

Fixed Income Market, Time Series Analysis, Computational Finance

Licence