Model cir
CIR model class.
CIR
Bases: SDE
Cox-Ingersoll-Ross (CIR) model.
__init__(param=None)
Initialize the class.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
param
|
parameter instance
|
True parameters used for simulation of the data |
None
|
diff(*, state, theta)
staticmethod
Diffusion (instantaneous volatility) function.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
state
|
(nvars, nsim) array_like
|
Current value of the process |
required |
theta
|
parameter instance
|
Model parameter |
required |
Returns:
| Type | Description |
|---|---|
scalar
|
Diffusion value |
drift(*, state, theta)
staticmethod
Drift function.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
state
|
(nvars, nsim) array_like
|
Current value of the process |
required |
theta
|
parameter instance
|
Model parameter |
required |
Returns:
| Type | Description |
|---|---|
scalar
|
Drift value |
get_start()
Get starting values for simulation.
Returns:
| Type | Description |
|---|---|
list[float]
|
Starting value at the long-run mean |