Description Usage Arguments Examples
View source: R/interest-walks.R
Stochastic Cox Ingersol Ross Process
1 | rcir(n, r, b, a, s)
|
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 |
1 2 |
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