Cox-Ingersoll-Ross (CIR)

Suppose that \(r_{t}\) evolves according to

\[ dr_{t}=\kappa\left(\mu-r_{t}\right)dt+\eta\sqrt{r_{t}}dW_{t}. \]

Feller condition for positivity of the process is \(\kappa\mu>\frac{1}{2}\eta^{2}\).

See the API reference for CIRparam and CIR.