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Simulate a Cox-Ingersoll-Ross process

version 1.0 (24.3 KB) by

(Exact algorithm)

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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.

Comments and Ratings (4)

XIN XU

XIN XU (view profile)

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

Dimitri Shvorob

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

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1.0

BSD

typo correction

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MATLAB 7.2 (R2006a)

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