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cir

pathwise_core::process::markov

Function cir 

Source 
pub fn cir(
    kappa: f64,
    theta: f64,
    sigma: f64,
) -> Result<SDE<f64, impl Drift<f64>, impl Fn(f64, f64) -> f64 + Send + Sync>, PathwiseError>
Expand description

Cox-Ingersoll-Ross: dX = kappa*(theta - X) dt + sigma*sqrt(X) dW

Requires kappa > 0, theta > 0, sigma > 0. Strict Feller condition: 2*kappa*theta > sigma^2. Returns Err(FellerViolation) if not met. Simulation clips X to 0.0 when discretization produces negative values (full truncation).