rsCIR {sde} | R Documentation |
Cox-Ingersoll-Ross process stationary law
Description
Density, distribution function, quantile function, and random generation of the stationary law for the Cox-Ingersoll-Ross process.
Usage
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)
Arguments
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 |
lower.tail |
logical; if TRUE (default), probabilities are |
Details
This function returns quantities related to the stationary law of the process solution of
Constraints: , all
positive.
Value
x |
a numeric vector |
Author(s)
Stefano Maria Iacus
References
Cox, J.C., Ingersoll, J.E., Ross, S.A. (1985) A theory of the term structure of interest rates, Econometrica, 53, 385-408.
See Also
Examples
rsCIR(n=1, theta=c(6,2,1))
[Package sde version 2.0.18 Index]