rCIRtransition: Draw from CIR transition density
In michaelgordy/basicAffineProcess: Basic Affine Processes
Description
Usage
Arguments
Details
Value
Description
Draw X[t] given X[0].
Usage
1
rCIRtransition(X0, mu, kappa, sigma, horizon)
Arguments
X0
Initial condition.
mu
Drift of process.
kappa
Mean reversion of process.
sigma
Volatility of process.
horizon
time t
Details
If X0 is a vector, return Xt will be a vector of the
same length. The vector elements are draw independently. This allows
us to simulate many independent paths simulataneously.
Value
Value Xt of process at time t.
michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.
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Description Usage Arguments Details Value
Description
Draw X[t] given X[0].
Usage
1 | rCIRtransition(X0, mu, kappa, sigma, horizon)
|
Arguments
X0 |
Initial condition. |
mu |
Drift of process. |
kappa |
Mean reversion of process. |
sigma |
Volatility of process. |
horizon |
time t |
Details
If X0 is a vector, return Xt will be a vector of the
same length. The vector elements are draw independently. This allows
us to simulate many independent paths simulataneously.
Value
Value Xt 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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