Struct CIR 

pub struct CIR {
    pub theta: f32,
    pub mu: f32,
    pub sigma: f32,
}

The Cox-Ingersoll-Ross (CIR) process.

This is a stochastic process given by the following stochastic differential equation: $$ \textrm{d}x_t = \theta (\mu - x_t) \textrm{d}t + \sigma \sqrt{x_t} \textrm{d} W_t $$ where $\theta$, $\mu$, and $\sigma$ are parameters of the process and $W_t$ is a standard Brownian motion.

Fields

theta: f32

$\theta$ is the speed of reversion.

mu: f32

$\mu$ is the long-term mean.

sigma: f32

$\sigma$ is the instantaneous volatility.

Implementations

impl CIR

pub fn new(theta: f32, mu: f32, sigma: f32) -> Self

Create a new CIR process.

Trait Implementations

impl AutonomousStochasticProcess for CIR

fn drift(&self, x: f32) -> f32

fn diffusion(&self, x: f32) -> f32

fn run_euler_maruyama( &self, x_0: f32, t_0: f32, t_n: f32, n: usize, ) -> SimulatedPath

impl StochasticProcess for CIR