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Simulate a Cox-Ingersoll-Ross process

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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 Toolbox
MATLAB release MATLAB 7.2 (R2006a)
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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

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