cirvolspec

Specify Cox-Ingersoll-Ross interest-rate volatility process

Syntax

VolSpec = cirvolspec(Sigma,Alpha,Theta)

Description

VolSpec = cirvolspec(Sigma,Alpha,Theta) creates a Cox-Ingersoll-Ross (CIR) VolSpec.

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