rMRCPtransition: Draw from MRCP transition density, i.e., X[t] given X[0]
In michaelgordy/basicAffineProcess: Basic Affine Processes
Description
Usage
Arguments
Value
Description
Draw from MRCP transition density, i.e., X[t] given X[0]
Usage
1
rMRCPtransition(X0, mu, kappa, lambda = 0, zeta = 1, horizon)
Arguments
X0
Initial conditions (scalar).
mu
Drift of process.
kappa
Mean reversion of process.
lambda
Jump arrival rate of process.
zeta
Mean of jump size distribution.
horizon
time t
Value
Xlist list containing X[horizon], X[jumptimes-], jump times and sizes.
Xt Value of processes at time t.
michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.
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Description Usage Arguments Value
Description
Draw from MRCP transition density, i.e., X[t] given X[0]
Usage
1 | rMRCPtransition(X0, mu, kappa, lambda = 0, zeta = 1, horizon)
|
Arguments
X0 |
Initial conditions (scalar). |
mu |
Drift of process. |
kappa |
Mean reversion of process. |
lambda |
Jump arrival rate of process. |
zeta |
Mean of jump size distribution. |
horizon |
time t |
Value
Xlist list containing X[horizon], X[jumptimes-], jump times and sizes.
Xt Value of processes 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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