sim.cir: Simulates the Feller process.

Description Usage Arguments Value Note Author(s) References Examples

View source: R/sim.cir.R

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)

SMFI5 documentation built on May 30, 2017, 1:51 a.m.

Related to sim.cir in SMFI5...