Specifying drift and diffusion functions in SDE(financial toolbox)

1 view (last 30 days)
Hello I am trying to simulate the following base SDE model using the financial toolbox
where are independent weiner processes
I wrote the drift and diffusion functions in two separate matlab functions in two separate files
function F=drf(t,X)
f1=0.1*X(1);
f2=0.1*X(2)
F=transpose([f1 f2])
end
function G=diffu(t,X)
G=[0.1 0;0 0.1]
end
But when i tried to create the sde object, by calling obj=SDE(drf,diffu) i got the following error
''Drift rate must be a 'Drift' function or a function''. I am using Matlab 2018. As far as i can see, the functions are of the correct dimensionality. What is wrong?

Answers (0)

Categories

Find more on MATLAB in Help Center and File Exchange

Products


Release

R2018b

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!