rCIRtransition2: Draw ([X[t],Y[t]) jointly from CIR transition density

Description Usage Arguments Value

Description

Draw (X[t],Y[t]) given (X[0],Y[0]).

Usage

1
rCIRtransition2(XY0, mu, kappa, sigma, horizon)

Arguments

XY0

Initial condition list(X=X0,Y=Y0)

mu

Drift of process.

kappa

Mean reversion of process.

sigma

Volatility of process.

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.