Affine term structure model
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Hello.
I am trying to estimate a two latent factor, no-arbitrage affine term structure model. However the code that I have found so far only yield diagonal elements of the estimated matrixes, any one have a working code for such model? It is important that I am able to obtain the lower triangular matrix, not only the diagonal as in the following code.. The code I have used so far can be obtained at: http://didattica.unibocconi.eu/myigier/doc.php?idDoc=6312&IdUte=48917&idr=1754&Tipo=m&lingua=eng#2
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