cirvolspec
Specify Cox-Ingersoll-Ross interest-rate volatility process
Description
Examples
Create a Structure Specifying the Volatility for cirtree
Create a Cox-Ingersoll-Ross volatility specification (CIRVolSpec
) using the following data.
Alpha = 0.03; Theta = 0.02; Sigma = 0.1; CIRVolSpec = cirvolspec(Sigma,Alpha,Theta)
CIRVolSpec = struct with fields:
FinObj: 'CIRVolSpec'
Sigma: 0.1000
Alpha: 0.0300
Theta: 0.0200
Input Arguments
Sigma
— Volatility
numeric
Volatility, specified as a scalar using a numeric value.
Data Types: double
Alpha
— Mean reversion speed
numeric
Mean reversion speed, specified as a scalar using a numeric value.
Data Types: double
Theta
— Mean reversion level or long-term mean of short rate
numeric
Mean reversion level or long-term mean of the short rate, specified as a scalar using a numeric value.
Data Types: double
Output Arguments
VolSpec
— Volatility model for CIR tree
structure
Volatility model for the CIRTree
, returned as a structure.
Version History
Introduced in R2018a
See Also
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