No BSD License
Dimitri Shvorob (view profile)
01 Oct 2007
17 Oct 2007)
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Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.
Please see CIRPATHDEMO, by following link 'Published m-files' below.
Question and HELP: I would like to simulate one CIR process for m obligors in a credit portfolio n times. Assume m=1000 and n=10000 (a lot of simulations). Could it be possible to speed up your algo?
(Typo in the CIR specification spotted and will be corrected shortly)