rsCIR() R function from [sde]

Cox-Ingersoll-Ross process stationary law

Density, distribution function, quantile function, and random generation of the stationary law 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

{\rm d}X_t = (\theta_1 - \theta_2 X_t){\rm d}t + \theta_3\sqrt{X_t} {\rm d}W_t.dX_t = (theta[1] - theta[2]*Xt)*dt + theta[3]*sqrt(X_t)*dWt.

Constraints: $2*theta[1] > theta[3]^2$ , all $theta$ positive.

Cox, J.C., Ingersoll, J.E., Ross, S.A. (1985) A theory of the term structure of interest rates, Econometrica, 53, 385-408.

Stefano Maria Iacus


rsCIR(n=1, theta=c(6,2,1))

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