Yield curve fitting using CIR model

Closed

Description

I am using a software called matlab and I want to use lsqnonlin function to estimate an observed yield curve using Cox-Ingersoll-Model. The observed spot rates are obsspotrate=[[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view],[url removed, login to view]]/100; Whilst the corresponding time to maturity is (in years) T=[[url removed, login to view] .25 .5 1 2 3 4 5 6 7 8 9 10 15 20 30]. So given the above observed yield, I need to estimate the parameters alpha, mu, sigma and r0(interest rate) that best fit the observed yield. I will also need to graphic representation of the observed yield and the estimated yield together, to show how well the estimated yield fits the observed yield.

## Deliverables

1) Complete and fully-functional working program(s) in executable form as well as complete source code of all work done.

2) Deliverables must be in ready-to-run condition, as follows (depending on the nature of the deliverables):

a) For web sites or other server-side deliverables intended to only ever exist in one place in the Buyer's environment--Deliverables must be installed by the Seller in ready-to-run condition in the Buyer's environment.

b) For all others including desktop software or software the buyer intends to distribute: A software installation package that will install the software in ready-to-run condition on the platform(s) specified in this bid request.

3) All deliverables will be considered "work made for hire" under U.S. Copyright law. Buyer will receive exclusive and complete copyrights to all work purchased. (No GPL, GNU, 3rd party components, etc. unless all copyright ramifications are explained AND AGREED TO by the buyer on the site per the coder's Seller Legal Agreement).

## Platform

Window Vista.

Skills: Anything Goes, Engineering, MySQL, PHP, Software Architecture, Software Testing

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Project ID: #3732364

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