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

Description Usage Arguments Value

Description

Integral Y[t] obtained via simple trapezoid rule.

Usage

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rBAPtransition2.trapezoid(X0, mu, kappa, sigma, lambda = 0, zeta = 1,
  horizon, ticks = 100)

Arguments

X0

Initial condition X=X0

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

ticks=100

is approximate number of knot points in [0,horizon]

Value

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


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