SDE Class Hierarchy

The Econometrics Toolbox SDE class structure represents a generalization and specialization hierarchy. The top-level class provides the most general model interface and offers the default Monte Carlo simulation and interpolation methods. In turn, derived classes offer restricted interfaces that simplify model creation and manipulation while providing detail regarding model structure.

The following table lists the SDE classes. The introductory examples in Available Models show how to use these classes to create objects associated with univariate models. Although the Econometrics Toolbox SDE engine supports multivariate models, univariate models facilitate object creation and display, and allow you to easily associate inputs with object parameters.

SDE Classes

Class Name	For More Information, See ...
SDE	Base SDE Models
Drift, Diffusion	Overview
SDEDDO	Drift and Diffusion Models
SDELD	Linear Drift Models
CEV	Creating Constant Elasticity of Variance (CEV) Models
BM	Creating Brownian Motion (BM) Models
SDEMRD	Creating Stochastic Differential Equations from Mean-Reverting Drift (SDEMRD) Models
GBM	Creating Geometric Brownian Motion (GBM) Models
HWV	Creating Hull-White/Vasicek (HWV) Gaussian Diffusion Models
CIR	Creating Cox-Ingersoll-Ross (CIR) Square Root Diffusion Models
Heston	Creating Heston Stochastic Volatility Models

The following figure illustrates the inheritance relationships among SDE classes.

SDEs

SDE Models

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