rCIRtransition2: Draw ([X[t],Y[t]) jointly from CIR transition density
In michaelgordy/basicAffineProcess: Basic Affine Processes
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.
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.
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.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.