rCIRpath: Draw path from CIR transition density on [0,horizon]
In michaelgordy/basicAffineProcess: Basic Affine Processes
Description
Usage
Arguments
Value
Description
Evenly spaced times points 0,dt,...,horizon, where dt=horizon/ticks.
Usage
1
Arguments
X0
Initial condition.
mu
Drift of process.
kappa
Mean reversion of process.
sigma
Volatility of process.
ticks
Number of slices in [0,horizon]
tt
horizon Final time.
Value
List of (tt,Xt), each of length ticks+1.
michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.
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Description Usage Arguments Value
Description
Evenly spaced times points 0,dt,...,horizon, where dt=horizon/ticks.
Usage
1 |
Arguments
X0 |
Initial condition. |
mu |
Drift of process. |
kappa |
Mean reversion of process. |
sigma |
Volatility of process. |
ticks |
Number of slices in [0,horizon] |
tt |
horizon Final time. |
Value
List of (tt,Xt), each of length ticks+1.
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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