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Plot Some Paths

version 1.8 (9.26 KB) by

This application allows you to generate and visualize some random paths

4 Downloads

Updated

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- Plot arithmetic and geometric Brownian motions
- Plot Brownian bridges, 2D and 3D Brownian motions
- Plot some random paths for the the interest spot rate:
The two models you can chose from are the Vasicek and the Cox- Ingersoll-Ross (CIR) models

Comments and Ratings (6)

Stefan

Stefan (view profile)

Rafael Curiel

This code is good
thank you

Thanks Hairi,

It would indeed be a good idea to make it more flexible, I just haven't gotten around to doing this.
Could you kindly describe what your functions "sedddo"and "simByEuler" do ?

Cheers,
Rodolphe

Hairui

Hairui (view profile)

Your project is very impressive. I really love the idea of combining GUI and m-code to visualize the stochastic processes.

Meanwhile, I think the SDE class in Matlab might be useful if you want to make your project more flexible. I don't know whether this can help, but here's my code of generating random paths using Vasicek:

ntrials = 200;
Steps = 1000;
kappa = 2;
theta = 1;
sigma = 0.4;
X0 = 1;
s = sdeddo(drift(kappa, theta), diffusion(0, sigma), 'StartTime', 0, 'StartState', X0);
p = s.simByEuler(Steps, 'DeltaTime', 1e-4, 'NTRIALS', ntrials);
plot(reshape(p, [Steps + 1, ntrials]));

Kind regards,

Hairui

This code is extremely helpful to visualize four of most important stochastic models in quantitative finance. I strong recommend this to any one who wants to enter this field.

Updates

1.8

updated

1.7

Brownian motions added

1.5

I corrected a typo. CIR stands for Cox- Ingersoll-Ross, I previously entered CID

1.3

I corrected a typo. This CIR stands for Cox-
Ingersoll-Ross, I previously entered CID

MATLAB Release
MATLAB 7.5 (R2007b)
Acknowledgements

Inspired by: Kernel Smoothing Regression

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