- Function File: CIR = cir (Speed, Level, Sigma)
- Function File: CIR = cir (Speed, Level, Sigma, OptionName, OptionValue, …)
Creates an object to represent a Cox-Ingersoll-Ross (CIR) mean-reverting square root diffusion.
dX_t = (Speed(t) * (Level(t) - X_t))dt + (diag(X_t.^1/2) * Sigma(t))dW_t.See the @sde documentation for a list of optional arguments.
See also: sde.
Package: financial