sim.cir: Simulates the Feller process.

Description Usage Arguments Value Note Author(s) References Examples

Description

Simulates the Feller process

dr = alpha(beta-r)dt + sigma sqrt(r) dW.

Usage

1
sim.cir(alpha, beta, sigma, r0, n, h)

Arguments

alpha

Mean-reversion parameter.

beta

Long term mean.

sigma

Volatility parameter.

r0

Initial rate value.

n

Number of periods.

h

Time between observations.

Value

r

Simulated annual rate in percent.

Note

Translated from Matlab by David-Shaun Guay (HEC Montreal grant).

Author(s)

Bruno Remillard

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

1
r = sim.cir(0.5,2.55,0.365,2.55,720,1/360)

Example output

Loading required package: ggplot2
Loading required package: reshape
Loading required package: corpcor
[1] 39.41976
[1] 30.65568
[1] 51.14558
[1] 43.72747
[1] 26.39614
[1] 40.0654
[1] 26.6442
[1] 33.90155
[1] 40.95845
[1] 40.31769
[1] 48.36609
[1] 63.20631
[1] 31.88889
[1] 33.54459
[1] 57.9328
[1] 57.67577
[1] 32.76421
[1] 45.15972
[1] 29.00286
[1] 37.93408
[1] 48.11784
[1] 37.18938
[1] 22.91658
[1] 41.45654
[1] 30.7443
[1] 35.32756
[1] 21.29005
[1] 24.69681
[1] 36.66421
[1] 33.98667
[1] 44.16428
[1] 36.64792
[1] 41.31818
[1] 32.01662
[1] 24.46926
[1] 34.02154
[1] 39.33059
[1] 34.73245
[1] 45.13524
[1] 41.82041
[1] 42.25055
[1] 42.35045
[1] 31.05053
[1] 39.9179
[1] 39.05039
[1] 49.48701
[1] 25.54762
[1] 45.72916
[1] 25.56665
[1] 27.78731
[1] 29.68542
[1] 37.44887
[1] 41.63936
[1] 24.34355
[1] 51.7456
[1] 29.97536
[1] 34.15431
[1] 57.98469
[1] 24.15805
[1] 32.69524
[1] 39.24248
[1] 33.18556
[1] 20.59932
[1] 53.04153
[1] 39.52209
[1] 35.12131
[1] 54.47522
[1] 32.30068
[1] 37.12586
[1] 29.68554
[1] 54.40132
[1] 36.16791
[1] 33.2253
[1] 35.37479
[1] 32.80596
[1] 33.76311
[1] 47.18813
[1] 35.56611
[1] 26.74961
[1] 37.09075
[1] 45.68928
[1] 54.78864
[1] 40.61927
[1] 41.14347
[1] 39.54134
[1] 45.33089
[1] 26.24966
[1] 35.98788
[1] 47.55252
[1] 46.89374
[1] 37.35764
[1] 29.65689
[1] 32.10313
[1] 30.67105
[1] 33.94499
[1] 27.95108
[1] 42.16191
[1] 41.00435
[1] 32.47745
[1] 27.9992
[1] 50.22609
[1] 24.81346
[1] 32.74198
[1] 38.50296
[1] 39.8579
[1] 52.59303
[1] 41.13167
[1] 29.06847
[1] 35.37057
[1] 38.29335
[1] 33.0643
[1] 44.51755
[1] 40.10035
[1] 28.27146
[1] 46.99563
[1] 29.9945
[1] 31.76153
[1] 39.36224
[1] 37.98115
[1] 34.60238
[1] 24.54613
[1] 42.40227
[1] 27.74939
[1] 49.30034
[1] 33.61394
[1] 47.24879
[1] 26.7225
[1] 30.47209
[1] 44.54846
[1] 33.61803
[1] 40.21915
[1] 33.4161
[1] 42.70325
[1] 56.06279
[1] 35.94187
[1] 35.6574
[1] 52.60506
[1] 21.98749
[1] 49.9958
[1] 40.3978
[1] 40.97337
[1] 38.37831
[1] 26.15527
[1] 44.03482
[1] 38.21172
[1] 35.23886
[1] 60.30511
[1] 42.09961
[1] 37.92864
[1] 30.88584
[1] 30.59125
[1] 35.15322
[1] 40.86806
[1] 38.60219
[1] 43.59676
[1] 31.57739
[1] 30.59854
[1] 51.31988
[1] 27.48254
[1] 61.68804
[1] 38.43921
[1] 43.4207
[1] 38.1
[1] 19.96089
[1] 27.53043
[1] 44.25204
[1] 28.0882
[1] 34.23649
[1] 46.39573
[1] 37.89307
[1] 23.09258
[1] 53.02992
[1] 19.60756
[1] 48.22851
[1] 29.58102
[1] 40.95404
[1] 27.03536
[1] 39.243
[1] 36.70412
[1] 28.23496
[1] 36.69548
[1] 30.43851
[1] 51.28916
[1] 53.24837
[1] 30.71129
[1] 39.46611
[1] 25.79253
[1] 36.06265
[1] 38.48877
[1] 23.06947
[1] 41.23425
[1] 41.84929
[1] 41.37441
[1] 43.75441
[1] 39.45247
[1] 44.48366
[1] 45.35446
[1] 29.31052
[1] 38.73011
[1] 37.29461
[1] 23.89614
[1] 23.38922
[1] 34.12123
[1] 51.81012
[1] 39.59056
[1] 60.54274
[1] 25.77969
[1] 24.22598
[1] 41.10429
[1] 27.44366
[1] 39.39795
[1] 33.45089
[1] 36.34525
[1] 27.12354
[1] 39.09205
[1] 28.80908
[1] 43.78336
[1] 42.62872
[1] 26.19346
[1] 34.33452
[1] 47.01188
[1] 53.99587
[1] 43.13154
[1] 38.58808
[1] 37.83703
[1] 36.57612
[1] 31.89942
[1] 48.46238
[1] 39.24997
[1] 34.79535
[1] 39.58881
[1] 36.13831
[1] 33.06629
[1] 35.59512
[1] 34.40241
[1] 32.00897
[1] 42.19288
[1] 34.48123
[1] 42.36701
[1] 70.44652
[1] 32.61603
[1] 39.62346
[1] 52.45933
[1] 52.23632
[1] 29.37643
[1] 43.27758
[1] 47.28254
[1] 34.1339
[1] 34.18498
[1] 47.24633
[1] 27.82665
[1] 49.95755
[1] 25.10905
[1] 38.41084
[1] 50.55938
[1] 41.76763
[1] 39.24067
[1] 43.87749
[1] 40.38061
[1] 32.37867
[1] 56.76568
[1] 54.66814
[1] 29.77857
[1] 33.66145
[1] 45.32614
[1] 47.73078
[1] 28.13378
[1] 27.97097
[1] 25.91075
[1] 28.55513
[1] 36.63585
[1] 41.64002
[1] 29.44387
[1] 35.88492
[1] 38.06733
[1] 35.5276
[1] 30.59068
[1] 44.23597
[1] 26.75369
[1] 47.95582
[1] 28.83225
[1] 35.10766
[1] 32.28888
[1] 42.84045
[1] 37.60481
[1] 37.41589
[1] 23.98223
[1] 39.97861
[1] 33.26205
[1] 36.6128
[1] 38.99476
[1] 31.11195
[1] 34.75265
[1] 33.83589
[1] 31.97373
[1] 44.5944
[1] 26.21133
[1] 53.96429
[1] 35.80259
[1] 41.18112
[1] 38.41025
[1] 33.47998
[1] 41.65282
[1] 41.42086
[1] 40.26127
[1] 36.7896
[1] 34.94069
[1] 33.27164
[1] 36.93382
[1] 38.7675
[1] 41.8144
[1] 30.9797
[1] 26.07566
[1] 33.26329
[1] 32.02193
[1] 39.99404
[1] 49.84095
[1] 46.30891
[1] 34.28549
[1] 42.33777
[1] 44.30229
[1] 29.6679
[1] 22.59724
[1] 27.49623
[1] 36.01013
[1] 34.85857
[1] 31.48907
[1] 40.75436
[1] 41.30516
[1] 33.95355
[1] 30.11698
[1] 35.83266
[1] 18.31205
[1] 63.73575
[1] 37.78387
[1] 48.37715
[1] 61.04662
[1] 30.30739
[1] 44.06781
[1] 49.51124
[1] 53.68042
[1] 34.68089
[1] 36.473
[1] 41.24332
[1] 49.45837
[1] 40.55284
[1] 40.71361
[1] 42.34745
[1] 43.8103
[1] 50.5389
[1] 32.23124
[1] 38.607
[1] 35.81781
[1] 41.6287
[1] 56.0628
[1] 31.58535
[1] 35.79728
[1] 35.32081
[1] 30.46687
[1] 28.0314
[1] 45.10392
[1] 37.10564
[1] 32.5379
[1] 41.82045
[1] 35.2597
[1] 38.11794
[1] 48.20975
[1] 47.07626
[1] 36.36831
[1] 16.79786
[1] 26.2543
[1] 39.22098
[1] 70.15091
[1] 56.70516
[1] 45.86633
[1] 50.26487
[1] 48.11713
[1] 39.51864
[1] 34.7587
[1] 29.44067
[1] 45.20214
[1] 30.79534
[1] 45.38268
[1] 42.66746
[1] 46.87863
[1] 29.57318
[1] 35.28651
[1] 43.21659
[1] 40.56902
[1] 28.34008
[1] 25.85253
[1] 39.35468
[1] 43.78416
[1] 37.86329
[1] 24.15216
[1] 42.86038
[1] 29.90951
[1] 33.52084
[1] 39.95939
[1] 25.85819
[1] 57.24572
[1] 28.96688
[1] 32.0466
[1] 40.43036
[1] 35.31654
[1] 43.16563
[1] 34.06503
[1] 39.54093
[1] 38.36077
[1] 43.03856
[1] 34.27401
[1] 30.00629
[1] 34.77807
[1] 25.57138
[1] 41.69947
[1] 36.80586
[1] 36.3054
[1] 53.40092
[1] 37.92393
[1] 51.81035
[1] 31.40184
[1] 27.82195
[1] 51.22033
[1] 40.74795
[1] 40.03805
[1] 31.6953
[1] 47.71656
[1] 53.36628
[1] 31.39789
[1] 49.21273
[1] 43.35528
[1] 41.21233
[1] 59.20488
[1] 30.74464
[1] 33.63444
[1] 45.05763
[1] 21.03029
[1] 28.87551
[1] 33.107
[1] 48.41679
[1] 32.66204
[1] 38.0716
[1] 35.67207
[1] 41.64662
[1] 26.20064
[1] 51.10158
[1] 29.15109
[1] 26.84049
[1] 45.15814
[1] 31.74982
[1] 31.59312
[1] 37.91751
[1] 31.73292
[1] 28.43188
[1] 33.60137
[1] 45.11387
[1] 52.74206
[1] 47.52698
[1] 39.80218
[1] 31.0557
[1] 35.69264
[1] 40.30013
[1] 48.81575
[1] 42.87182
[1] 36.79041
[1] 42.65566
[1] 29.92113
[1] 34.20524
[1] 33.46969
[1] 50.75001
[1] 38.36373
[1] 34.50069
[1] 26.25754
[1] 54.42165
[1] 28.32512
[1] 41.13756
[1] 41.75257
[1] 33.07116
[1] 31.05543
[1] 35.28579
[1] 33.35131
[1] 39.15099
[1] 39.99598
[1] 33.38707
[1] 37.69665
[1] 40.66589
[1] 39.36477
[1] 54.43585
[1] 37.9287
[1] 23.46063
[1] 39.37099
[1] 36.19319
[1] 36.21799
[1] 46.48369
[1] 41.93794
[1] 49.42367
[1] 23.23724
[1] 28.87683
[1] 37.601
[1] 31.5736
[1] 30.42556
[1] 41.30775
[1] 35.59461
[1] 38.39867
[1] 30.57707
[1] 27.16661
[1] 39.26681
[1] 33.46951
[1] 56.55255
[1] 47.16478
[1] 34.23615
[1] 39.0626
[1] 34.49262
[1] 36.48452
[1] 34.12746
[1] 33.94506
[1] 42.92627
[1] 42.15313
[1] 52.4467
[1] 44.32687
[1] 34.96538
[1] 46.34567
[1] 45.27746
[1] 43.80257
[1] 35.09958
[1] 37.10181
[1] 29.19475
[1] 32.59335
[1] 47.50297
[1] 43.72648
[1] 32.30079
[1] 36.84847
[1] 50.53446
[1] 33.07903
[1] 33.99527
[1] 34.01019
[1] 34.68393
[1] 43.05831
[1] 36.90835
[1] 48.03865
[1] 31.23764
[1] 31.52732
[1] 28.2537
[1] 47.63734
[1] 35.77681
[1] 39.33452
[1] 37.24883
[1] 25.2293
[1] 26.86456
[1] 43.33671
[1] 35.51689
[1] 35.4922
[1] 47.95235
[1] 48.84042
[1] 47.49401
[1] 30.26075
[1] 32.51384
[1] 36.4714
[1] 32.43427
[1] 34.40161
[1] 26.38681
[1] 28.69752
[1] 24.93595
[1] 40.24619
[1] 28.88467
[1] 44.91621
[1] 35.56613
[1] 50.76922
[1] 27.37887
[1] 38.30385
[1] 29.31468
[1] 32.26731
[1] 47.35225
[1] 42.54322
[1] 32.62602
[1] 40.88031
[1] 28.56034
[1] 58.01246
[1] 41.59411
[1] 37.18126
[1] 36.22126
[1] 27.11613
[1] 28.93468
[1] 41.59459
[1] 27.88555
[1] 40.86079
[1] 48.57016
[1] 35.09
[1] 42.19312
[1] 40.50251
[1] 39.81293
[1] 30.06277
[1] 30.26476
[1] 44.36772
[1] 35.81315
[1] 27.80147
[1] 26.26512
[1] 44.50618
[1] 39.59565
[1] 48.34578
[1] 35.54458
[1] 37.85276
[1] 32.91041
[1] 29.00538
[1] 24.079
[1] 34.59717
[1] 27.37333
[1] 44.59841
[1] 32.41497
[1] 36.53259
[1] 29.39251
[1] 55.86328
[1] 34.28446
[1] 47.35257
[1] 38.43595
[1] 32.66466
[1] 34.51325
[1] 34.40076
[1] 31.2966
[1] 21.40904
[1] 45.73539
[1] 38.50374
[1] 27.32545
[1] 38.96216
[1] 32.61372
[1] 40.16525
[1] 41.16435
[1] 44.5748
[1] 26.43602
[1] 41.05288
[1] 21.19039
[1] 31.0912
[1] 47.22223
[1] 64.42651
[1] 30.03982
[1] 35.41673
[1] 50.97761
[1] 31.63031
[1] 27.57747
[1] 23.77435
[1] 53.68491
[1] 41.49348
[1] 28.56466
[1] 43.79104
[1] 25.89157
[1] 38.84059
[1] 38.98976
[1] 31.7982
[1] 41.26804
[1] 45.22092
[1] 31.48657
[1] 44.99682
[1] 30.55363
[1] 36.673
[1] 59.34239
[1] 42.35319
[1] 40.48608
[1] 44.55344
[1] 26.01339
[1] 47.00449
[1] 37.1786
[1] 39.59901
[1] 30.70315
[1] 37.11156
[1] 32.76755
[1] 34.49444
[1] 29.03376
[1] 31.16469
[1] 33.44245
[1] 29.45479
[1] 39.64624
[1] 49.01664
[1] 40.26582
[1] 40.54752
[1] 27.10961
[1] 32.11976
[1] 35.11647
[1] 30.45335
[1] 47.86367
[1] 36.76848
[1] 38.71358
[1] 31.70772
[1] 28.48179
[1] 34.519
[1] 42.87256
[1] 49.17055
[1] 49.24187
[1] 29.82604
[1] 49.32328
[1] 27.12519
[1] 45.00168
[1] 54.74867
[1] 39.968
[1] 29.75995
[1] 42.34676
[1] 30.14162
[1] 44.71768
[1] 23.63014
[1] 41.83855
[1] 29.16606
[1] 38.23604
[1] 46.35406
[1] 35.3824
[1] 33.30254
[1] 34.52465
[1] 34.33963
[1] 39.58068
[1] 41.93382
[1] 43.02053
[1] 36.10971
[1] 26.68598
[1] 47.42913
[1] 34.05935
[1] 34.65487
[1] 31.51663
[1] 45.78636
[1] 32.01742
[1] 23.72256
[1] 27.2373
[1] 35.63735

SMFI5 documentation built on May 2, 2019, 10:25 a.m.

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