R help - Dec 2009 - R + Hull-White model using nonlinear least squares

Hi guys 
I have data that contains the variances vt of the yields of 1, 2, 3, 4,
5,10, 20 year bonds. Assuming the Hull-White model for the yield of a t-year
zero-coupon bond, I have to estimate the ? of the Hull-White model using
nonlinear least squares and give a 95% con?dence interval for each
parameter. Please can you guys tell how to find out ? using R. Any
suggestion regarding what functions to use etc would be very helpful.

Thanks
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On Dec 6, 2009, at 1:08 PM, king123 wrote:
>
> Hi guys
> I have data that contains the variances vt of the yields of 1, 2, 3,  
> 4,
> 5,10, 20 year bonds. Assuming the Hull-White model for the yield of  
> a t-year
> zero-coupon bond, I have to estimate the ? of the Hull-White model  
> using
> nonlinear least squares and give a 95% con?dence interval for each
> parameter. Please can you guys tell how to find out ? using R. Any
> suggestion regarding what functions to use etc would be very helpful.
RSiteSearch("hull-white")  # would seem to be the  blindingly obvious
starting point.

After that you should probably:
a) read the Posting Guide, and
b) try consulting your instructor.

-- 

David Winsemius, MD
Heritage Laboratories
West Hartford, CT