rBAPtransition2: Draw (X[t],Y[t]) jointly from BAP transition density.

In michaelgordy/basicAffineProcess: Basic Affine Processes

Description

Draw (X[t],Y[t]) jointly from BAP transition density.

Usage

rBAPtransition2(XY0, mu, kappa, sigma, lambda = 0, zeta = 1, horizon)

Arguments

XY0	Initial condition list(X=X0,Y=Y0)
mu	Drift of process.
kappa	Mean reversion of process.
sigma	Volatility of process.
lambda	Jump arrival rate of process.
zeta	Mean of jump size distribution.
horizon	time t

Value

List (X=Xt,Y=Yt) of process at time t.

michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.