Function Reference: cir

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.