ou: The Ornstein-Uhlenbeck Process

In nathanesau/stocins: Stochastic Interest Rate Models for Life Insurance

Description

A class used to model the Ornstein-Uhlenbeck process. See the iratemodel class for details and examples.

Usage

## S3 method for class 'ou'
delta.ev(t, irm)

## S3 method for class 'ou'
delta.cov(s, t, irm)

## S3 method for class 'ou'
delta.var(t, irm)

## S3 method for class 'ou'
y.ev(t, irm)

## S3 method for class 'ou'
y.var(t, irm)

## S3 method for class 'ou'
y.cov(s, t, irm)

References

Parker, Gary. An application of stochastic interest rate models in life assurance. Diss. Heriot-Watt University, 1992.

nathanesau/stocins documentation built on May 23, 2019, 12:19 p.m.