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CoxIngersollRoss

oxiphysics_core::stochastic_processes

Struct CoxIngersollRoss 

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pub struct CoxIngersollRoss {
    pub kappa: f64,
    pub theta: f64,
    pub sigma: f64,
    pub r0: f64,
    /* private fields */
}
Expand description

Cox-Ingersoll-Ross (CIR) interest rate model.

SDE: dr = kappa*(theta - r)dt + sigmasqrt(r)*dW

The Feller condition 2kappatheta >= sigma^2 ensures r stays positive. Milstein scheme is used for better accuracy.

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§kappa: f64

Mean reversion speed kappa.

§theta: f64

Long-run mean theta.

§sigma: f64

Volatility sigma.

§r0: f64

Initial rate r(0).

Implementations§

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impl CoxIngersollRoss

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pub fn new(kappa: f64, theta: f64, sigma: f64, r0: f64, seed: u64) -> Self

Creates a new CIR process.

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pub fn feller_satisfied(&self) -> bool

Whether the Feller condition 2kappatheta >= sigma^2 is satisfied.

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pub fn path(&self, t_end: f64, n_steps: usize) -> Vec<f64>

Simulate path using Milstein scheme.

The reflection r -> |r| is used after each step to guarantee non-negativity.

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pub fn stationary_mean(&self) -> f64

Stationary mean E[r] = theta.

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pub fn stationary_variance(&self) -> f64

Stationary variance Var[r] = sigma^2 * theta / (2 * kappa).

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