drift_vasicek: Vasicek drift function
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Details
Value
View source: R/drift_coefficients.R
Description
The drift coefficient function for Vasicek process. It is equal to μ(t, X_t)=θ (μ-X_t)
Usage
1
drift_vasicek(x, t, theta, mu)
Arguments
x
spatial input
t
temporal input
theta
the speed at which the diffusion reverts to its long-term mean level
mu
the long term mean level.
Details
The coefficient for the short-rate Vasicek model shares the same coefficient as the CIR, and Hull-White.
Value
numeric
shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.
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Description Usage Arguments Details Value
View source: R/drift_coefficients.R
Description
The drift coefficient function for Vasicek process. It is equal to μ(t, X_t)=θ (μ-X_t)
Usage
1 | drift_vasicek(x, t, theta, mu)
|
Arguments
x |
spatial input |
t |
temporal input |
theta |
the speed at which the diffusion reverts to its long-term mean level |
mu |
the long term mean level. |
Details
The coefficient for the short-rate Vasicek model shares the same coefficient as the CIR, and Hull-White.
Value
numeric
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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