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Simulate a Cox-Ingersoll-Ross process

01 Oct 2007 (Updated 17 Oct 2007)

(Exact algorithm)

File Information

Description

Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.

Please see CIRPATHDEMO, by following link 'Published m-files' below.

Required Products

Statistics Toolbox

MATLAB release

MATLAB 7.2 (R2006a)

Tags for This File
Everyone's Tags	analysis(2), cox ingersoll ross cir(2), finance, modeling
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Comments and Ratings (3)
18 Feb 2013	XIN XU
24 Apr 2011	Hans	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? Many thanks
01 Oct 2007	Dimitri Shvorob	(Typo in the CIR specification spotted and will be corrected shortly)

Updates
02 Oct 2007	typo correction
17 Oct 2007	cosmetic revision