sample_path_cir: Simulate a sample path of an Cox-Ingersoll-Ross short-rate...

In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes

Description

Non-exported Wrapper to sample_path_em to directly simulate a sample path of Cox-Ingersoll-Ross short-rate model without having to specify the constant coefficient functions. This function should not be called directly but rather through sample_path with continuous.model set to "cir".

Usage

sample_path_cir(t, IC, parameters, jumps = NULL, n = 10000)

Arguments

t	length of time to simulate over
IC	initial value of the Cox-Ingersoll-Ross short-rate model, no default
parameters	a named list containing constants theta, mu, and volat describing the mean-reversion speed, drift and volatility coefficients
jumps	a list of objects defining the jump-size distribution, can be NULL for purely continuous models, see details.
n	number of time sub-intervals in the discretization

Details

The drift of the Cox-Ingersoll-Ross short-rate model is in the form of θ(mu-r_t) where θ is the mean-reversion speed and μ is the long-term mean level. The volatility coefficient is given by σ √{r_t}

• distr the name of the distribution of the jump-sizes e.g. "norm", "unif", "kou"

• param named list of parameters for the distribution matching the input in rdistr for a given "distr".

Value

data.frame containing t (time) and X (state).

shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.