The sdeld
class derives from the sdeddo
class. The sdeld
objects allow you to simulate
correlated paths of NVars
state variables expressed in linear
drift-rate form:
sdeld
objects provide a parametric alternative to the mean-reverting drift
form, as discussed in Example: SDEMRD Models. They also
provide an alternative interface to the sdeddo
parent class, because you can
create an object without first having to create its drift and diffusion-rate
components.
Create the same model as in Example: Base SDE Models using sdeld
:
obj = sdeld(0, 0.1, 1, 0.3) % (A, B, Alpha, Sigma)
obj = Class SDELD: SDE with Linear Drift ---------------------------------------- Dimensions: State = 1, Brownian = 1 ---------------------------------------- StartTime: 0 StartState: 1 Correlation: 1 Drift: drift rate function F(t,X(t)) Diffusion: diffusion rate function G(t,X(t)) Simulation: simulation method/function simByEuler A: 0 B: 0.1 Alpha: 1 Sigma: 0.3
bates
| bm
| cev
| cir
| diffusion
| drift
| gbm
| heston
| hwv
| interpolate
| merton
| sde
| sdeddo
| sdeld
| sdemrd
| simByEuler
| simByQuadExp
| simBySolution
| simBySolution
| simulate
| ts2func