VoseTimeShortTermInterestRateA | Vose Software


See also: Time series in ModelRisk

VoseTimeShortTermInterestRate({Price inflation}, QMU, QSD, QA, YSD, CMU, CSD, CA, CW, CD, CY, CAA, CAAA, BMU, BSD, BA)




Array function that models Wilkie's Short Term Interest Rate time series model based on an existing array with long term interest rate data.

  • {Long Term} - array with long term interest rate data.

  • QMU - Mean force of inflation.

  • QSD - standard deviation of force inflation.

  • QA - autoregression coefficient.

  • YSD - Standard deviation of residual.

  • CMU - Mean yield in excess of inflation.

  • CSD - Standard deviation of residual.

  • CA - autoregression coefficient.

  • CW - inflation factor.

  • CD - Inflation autoregression coefficient.

  • CY - Share links yield factor.

  • CAA - second order correlation coefficient.

  • CAAA - third order correlation coefficient.

  • BMU - log of interest rate ratio.

  • BSD - standard deviation of residual.

  • BA - autoregression coefficient.

As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Wilkie Models window.