Exchange rates are not mean reverting. Simple BS with interest rate differential is usually applied.
Kind regards,-- Dominykas Grigonis On Wednesday, 15 January 2014 at 19:30, Jaimie wrote: > Hi R users > > I'm trying to model fx rates with one-factor models like CIR, Vasicek, > hull-white etc. Those usually used in the context of interest rate modeling. > I was wondering: > > 1- Would It make sense? I mean, applying short rate models to exchange rates. > > 2- What would be the best r package i should go to? Is there one specially > recomended? > > Thanks a lot in advanced. > > Jaimie > > Enviado desde mi iPhone > _______________________________________________ > [email protected] (mailto:[email protected]) mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
