/forecast-CIR_Kalman

Forecast of LIBOR via CIR modeling and Kalman estimation of the coefficients

forecast-CIR_Kalman

Forecast of LIBOR via CIR modeling and Kalman estimation of the coefficients

  1. Reference Paper: https://www.gla.ac.uk/media/media_22193_en.pdf
  2. Data: CSV file of monthly LIBOR (tenors 1M-30Y) from 3/31/1998 until 04/30/2018
  3. Data: CSV file of daily LIBOR (tenors 1M-30Y) from 04/24/2017 until 04/24/2018

TODO:

  • Python code for the forecast (most likely employing pykalman)