rCIRintegrated: Draw Y[t] conditional on (X[0],X[t]).
In michaelgordy/basicAffineProcess: Basic Affine Processes
Description
Usage
Arguments
Value
Description
Algorithm is based on Theorem 2.2 in
Glasserman and Kim (2011).
Usage
1
rCIRintegrated(X0, Xt, mu, kappa, sigma, horizon, GKterms = 10)
Arguments
X0
Initial condition.
Xt
Final value at horizon.
mu
Drift of process.
kappa
Mean reversion of process.
sigma
Volatility of process.
horizon
time t
GKterms
number of terms in Glasserman-Kim expansion
Value
Value Yt of process at time t.
michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.
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Description Usage Arguments Value
Description
Algorithm is based on Theorem 2.2 in Glasserman and Kim (2011).
Usage
1 | rCIRintegrated(X0, Xt, mu, kappa, sigma, horizon, GKterms = 10)
|
Arguments
X0 |
Initial condition. |
Xt |
Final value at horizon. |
mu |
Drift of process. |
kappa |
Mean reversion of process. |
sigma |
Volatility of process. |
horizon |
time t |
GKterms |
number of terms in Glasserman-Kim expansion |
Value
Value Yt of process at time t.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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