# [R] Urgent Inquiry

Woo Young Kang erickwy at hotmail.com
Wed Feb 12 22:09:33 CET 2014

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Hi, my name is Woo Young Kang and I am a current user of R-programming.

I am looking for an R-programming online questioning community and was having difficulty finding it.

I wonder what webaddress I can use to ask question regarding the R-programming.

Before that, I do have one critical question that I would like to ask regarding the R-programming.

I am trying to make about 10 lines of MATLAB code into the equivalent R-programming code.

The backgroud for this is to produce initial parameters for the Cox-Ross-Ingersoll short rate model using the

OLS method.

I found out the MATLAB code for OLS initial parameter estimation for the CIR interest rate model from

one of the literature but have a bit difficulty in understanding 100% of the code since I was trying to convert

this code in terms of R-programming code.

The code itself is as follows:

% Initial parameters using OLS
Nobs = length(Model.Data);
x = Model.Data(1:end-1);
dx = diff(Model.Data);
dx = dx./x.^0.5;
regressors = [Model.TimeStep./x.^0.5, Model.TimeStep*x.^0.5];
drift = regressors\dx;
res = regressors*drift - dx;
alpha = -drift(2);
mu = -drift(1)/drift(2);
sigma = sqrt(var(res, 1)/Model.TimeStep);
InitialParams = [alpha mu sigma];
if ~isfield(Model, 'Disp'), Model.Disp = 'y'; end;
if strcmp(Model.Disp, 'y')
fprintf('\n initial alpha = %+3.6f\n initial mu    = %+3.6f\n initial sigma = %+3.6f\n', alpha, mu, sigma);
end

% where
%Model.Data   = Time series of interest rates observations
% Model.TimeStep   = Delta t; recommended: 1/250 for daily data, 1/12 for monthly data

I am attaching also the source of this code to this email as well which is one of the literature that I found recently.

The relavent source in the literature for your reference is in the section 2.2. initial estimates.

Since my main purpose of this is to convert this into the R-programming code,

it would be great if I could know the equivalent R-programming code for this MATLAB code,

and also the online R-programming questioning website address as well.

Thank you very much!

Sincerely,
Woo Young Kang

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