rsCIR {sde} | R Documentation |
Density, distribution function, quantile function and random generation for the stationary law of for the Cox-Ingersoll-Ross process
dsCIR(x, theta, log = FALSE) psCIR(x, theta, lower.tail = TRUE, log.p = FALSE) qsCIR(p, theta, lower.tail = TRUE, log.p = FALSE) rsCIR(n=1, theta)
x |
vector of quantiles. |
p |
vector of probabilities. |
theta |
parameter of the Cox-Ingersoll-Ross process. See details. |
n |
number of random numbers to generate from the conditional distribution. |
log, log.p |
logical; if TRUE, probabilities p are given as log(p). |
lower.tail |
logical; if TRUE (default), probabilities are P[X <= x] ,
otherwise, P[X > x] . |
This function returns quantities related to the stationary law
of the process solution of
dX_t = (theta[1] - theta[2]*Xt)*dt + theta[3]*sqrt(X_t)*dWt
.
Constraints: 2*theta[1] > theta[3]^2, theta's>0
.
x |
a numeric vector |
Stefano Maria Iacus
Cox, J.C., Ingersoll, J.E., Ross, S.A. (1985) A theory of the term structure of interest rates, Econometrica, 53, 385-408.
rsCIR(n=1, theta=c(6,2,1))