我正在尝试使用python设置一个Vasicek校准例程。我认为最好使用scipy.optimize,但我正在为如何编写它而苦苦挣扎。我有下面的整体表格。
有人用python实现过Vasicek校准吗?初始数据-下表。
2.0> = <0.975,0.949,0.900,0.8519,0.8056>
更新:给定公式:B= (1 -tau(-kappatau))/ kappa A= np.exp((theta-(sigma__2)/(2(kappa2))) * (B-tau) - (sigma2)/(4*kappa)_(B__2)) Vasicek = A_np.exp(-r0 * B)
有什么python函数可以迭代地求解'kappa‘,从而使变量Vasicek命中某个值?
def py_exact_zcb_Vas_Table(theta, kappa, sigma, tau, zeroBond, r0 = 0):
length = len(tau)
B = np.zeros(length)
A = np.zeros(length)
Vasicek = np.zeros(length)
kappa_calib = np.zeros(length)
theta_calib = np.zeros(length)
Vasci_calib = np.zeros(length)
for i in range(0, length, 1):
B[i] = (1 - np.exp(-kappa*tau[i])) / kappa
A[i] = np.exp((theta-(sigma[i]**2)/(2*(kappa**2))) * (B[i]-tau[i]) - (sigma[i]**2)/(4*kappa)*(B[i]**2))
Vasicek[i] = A[i]*np.exp(-r0 * B[i])
#do while (zeroBond[i] - Vasci_calib[i]) <> 0:
# change kappa[i] such that I match Vasci_calib[i] with zeroBond[i]
return pd.DataFrame({'B':B, 'A':A, 'Vasicek':Vasicek, 'kappa':kapp_calib})
https://stackoverflow.com/questions/51290578
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