rcir: Stochastic Cox Ingersol Ross Process

Description Usage Arguments Examples

View source: R/interest-walks.R

Description

Stochastic Cox Ingersol Ross Process

Usage

1
rcir(n, r, b, a, s)

Arguments

n

number of random observations

r

starting short term interest rate

b

mean of long term interest rate

a

constant that determines rate of reversion of r to the long term mean b

s

volatility of the interest rate process

Examples

1
2
rcir(n = 10, r = 0.01, b = 0.04, a = 0.5, s = 0.07)
rcir(n = 10, r = 0.01, b = 0.04, a = 1, s = 0.05)

merlinoa/diehard3000 documentation built on May 22, 2019, 6:52 p.m.