Longstaff-Schwartz Interest Rate Model (1992)

[White Noise]

Hello guys,

I am actually working on a yield curve for the Longstaff-Schwartz multi factor rate model (1992) and have some problems with it. Have anybody here worked on it and could share with some implementation of that problem ? Or give any advices how to estimate parameters for example ? I would be very grateful for any help.

 

[Daniel Duffy]

The best way is to code the algorithm up yourself.

BTW what kind of problem? Does that mean you have coded it in some way?

 

[White Noise]

Ok, so maybe I will explain a bit more my actual situation. I am a student of Financial Mathematics and now I started some work involved with interest rate modelling on my own (not as a project on studies on something like that). As I am quite new in the area of interest rates so I started from the one-factor CIR model. I found very interesting article about "simple discretization" of this model and that was a breaking point for me which gave me an idea to use Least Square Estimation in order to calibrate parameters of the CIR model and then I simulated short and long rates. So my goal was reached. But when it goes about Longstaff model i don't have any idea how to approach this issue. I need some concept because here we have a system of two equations so i don't have any idea how to calibrate parameters of them. Any kind of clues or maybe some materials or codes connected with this problem would be very helpful. I need something to push me forward.