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Simulate a Cox-Ingersoll-Ross process

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3.0 | 2 ratings Rate this file 10 Downloads (last 30 days) File Size: 24.3 KB File ID: #16670 Version: 1.0
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Simulate a Cox-Ingersoll-Ross process

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01 Oct 2007 (Updated )

(Exact algorithm)

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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 and Machine Learning Toolbox
MATLAB release MATLAB 7.2 (R2006a)
MATLAB Search Path
/
/cirpathdemo
/cirpathdemo/html
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Comments and Ratings (4)
18 Apr 2016 Karl Ejvegård  
18 Feb 2013 XIN XU

XIN XU (view profile)

 
24 Apr 2011 Hans

Hans (view profile)

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

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01 Oct 2007 Dimitri Shvorob

(Typo in the CIR specification spotted and will be corrected shortly)

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Updates
02 Oct 2007

typo correction

04 Apr 2016 1.0

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