Find Jobs
Hire Freelancers

Calibrating a historical rate structure . Based on the history of the European curve nominal rates of maturity from 1 to 30 years over the period August 1998 to December 2013 , it is " fitter " price zero coupon ( ZC ) with the CIR model 1-factor CIR mode

$10-30 USD

Cancelled
Posted almost 10 years ago

$10-30 USD

Paid on delivery
Calibrating a historical rate structure . Based on the history of the European curve nominal rates of maturity from 1 to 30 years over the period August 1998 to December 2013 , it is " fitter " price zero coupon ( ZC ) with the CIR model 1-factor CIR model and the 2 factors. Finance 1 ) Method of least squares on the closed form of zero -coupon price Choose two of the following three methods. - Nlin proc - Optmodel proc - Numerical approach ( finite tuple of parameters) 2 ) Calibration per time step ( month after month ) For a given month it is to find the model parameters minimizing the least squares on the yield curve with 30 points ZC price of 1-30 years. 3 ) Analysis of the values taken by each parameter Calculating central moments of order 1 and 2 of each parameter. Draw each parameter as a function of time (history) . 4) To achieve a single tuple of parameters From the descriptive statistics of the previous point , set the parameter whose standard deviation is smaller. Repeat the study point 2-3 . Analyze the results. Set the second parameter whose standard deviation is smaller. Repeat the study to obtain a single tuple of parameters. 5) Residue Analysis Test of normality ( at least two different ) residue ( model price and historical price). 6 ) Simulation and Backtesting Considering the diffusion process of the "r" instantaneous rate , simulate 1000 trajectories mesh monthly from January 2009. Deduct each time rates 1 year , 10 years and 30 years. We would like 95% of the simulated prices contain each time the prices recorded in the past. Whether or not this assertion. Note: - At first the entire study will cover only the CIR model one factor ; - The spread of instantaneous and the closed price formula ZC rate is on page 3 of the pdf; - In the first minimization by the least squares method , restart several times the same model to see if it is converging . If this is not the case, you should consider a series of random draws (100 should be enough ) input parameters . (macro language required. sas available Code).
Project ID: 5980713

About the project

1 proposal
Remote project
Active 10 yrs ago

Looking to make some money?

Benefits of bidding on Freelancer

Set your budget and timeframe
Get paid for your work
Outline your proposal
It's free to sign up and bid on jobs
1 freelancer is bidding on average $100 USD for this job
User Avatar
A proposal has not yet been provided
$100 USD in 3 days
4.9 (42 reviews)
5.8
5.8

About the client

Flag of CHINA
China
0.0
0
Payment method verified
Member since Apr 22, 2013

Client Verification

Thanks! We’ve emailed you a link to claim your free credit.
Something went wrong while sending your email. Please try again.
Registered Users Total Jobs Posted
Freelancer ® is a registered Trademark of Freelancer Technology Pty Limited (ACN 142 189 759)
Copyright © 2024 Freelancer Technology Pty Limited (ACN 142 189 759)
Loading preview
Permission granted for Geolocation.
Your login session has expired and you have been logged out. Please log in again.