C# Class CIRProcess.CIR

Inheritance: IExtensibleProcessIR, IMarkovSimulator, IParsable, IEstimationResultPopulable, IGreeksDerivativesInfo, IExportableContainer

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Public Properties

Property	Type	Description
k	IModelParameter
r0	IModelParameter
sigma	IModelParameter
theta	IModelParameter

Public Methods

Method	Description
Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double s ) : double	Calculates the value of a Bond under the Cox-Ingersoll-Ross model.
CIR ( ) : System	Default constructor, sets all the values to a default of 0.001.
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
GetDeltaFactors ( ) : IModelParameter[]	Gets the factors for Delta Greek derivative.
GetVegaFactors ( ) : IModelParameter[]	Gets the factors for Vega Greek derivative.
Parse ( IProject context ) : bool	Ensure the parameters are correct.
Populate ( IStochasticProcess container, EstimationResult estimate ) : void	Populate editable fields from name and value vectors specific to the CIR process.
Setup ( double dates ) : void	Called by Simulator after parse. Calculates the variables d and nu for faster execution.
a ( int i, double x, double a ) : void	This function defines the drift in the Cox-Ingersoll-Ross Markov process. The formula to calculate the A component is A = k * (theta - max(previous state, 0)).
ab ( int i, double x, double a, double b ) : void	This function calculates the drift and the volatility in the Cox-Ingersoll-Ross Markov process. as A = k * (theta - max(previous state, 0)). B = sigma * sqrt(max(previous state, 0)).
b ( int i, double x, double b ) : void	This function defines the volatility in the Cox-Ingersoll-Ross Markov process. The formula to calculate the B component is B = sigma * sqrt(max(previous state, 0)).
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

Private Methods

Method	Description
SetParametersValue ( ) : void	Prepares the serialized model parameters with the provided values.

Method Details

Bond() public method

Calculates the value of a Bond under the Cox-Ingersoll-Ross model.

public Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double s ) : double
dynamic	IReadOnlyMatrixSlice	/// The simulated process. ///
dates	double	/// The vector of reference dates. ///
i	int	/// The index at which the state variable must be sampled. ///
t	double	/// The date in years/fractions at at which the state variable must be sampled. ///
s	double	/// The maturity of the bond. ///
return	double

CIR() public method

Default constructor, sets all the values to a default of 0.001.

public CIR ( ) : System
return	System

ExportObjects() public method

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	/// The parameter is not used. ///
return	List

GetDeltaFactors() public method

Gets the factors for Delta Greek derivative.

public GetDeltaFactors ( ) : IModelParameter[]
return	IModelParameter[]

GetVegaFactors() public method

Gets the factors for Vega Greek derivative.

public GetVegaFactors ( ) : IModelParameter[]
return	IModelParameter[]

Parse() public method

Ensure the parameters are correct.

public Parse ( IProject context ) : bool
context	IProject	/// The underlying project. ///
return	bool

Populate() public method

Populate editable fields from name and value vectors specific to the CIR process.

public Populate ( IStochasticProcess container, EstimationResult estimate ) : void
container	IStochasticProcess	/// The stochastic process which is being referenced to. ///
estimate	EstimationResult	/// The estimation result which contains values and names of parameters. ///
return	void

Setup() public method

Called by Simulator after parse. Calculates the variables d and nu for faster execution.

public Setup ( double dates ) : void
dates	double	The parameter is not used.
return	void

a() public method

This function defines the drift in the Cox-Ingersoll-Ross Markov process. The formula to calculate the A component is A = k * (theta - max(previous state, 0)).

public a ( int i, double x, double a ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
a	double	The output of the function.
return	void

ab() public method

This function calculates the drift and the volatility in the Cox-Ingersoll-Ross Markov process. as A = k * (theta - max(previous state, 0)). B = sigma * sqrt(max(previous state, 0)).

public ab ( int i, double x, double a, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
a	double
b	double	The output of the function.
return	void

b() public method

This function defines the volatility in the Cox-Ingersoll-Ross Markov process. The formula to calculate the B component is B = sigma * sqrt(max(previous state, 0)).

public b ( int i, double x, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
b	double	The output of the function.
return	void

isLog() public method

Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

public isLog ( bool &isLog ) : void
isLog	bool	/// A reference to the array to be set with the required information. /// The array contains a single member set to false as this simulation /// is not log-normal. ///
return	void

Property Details

k public_oe property

The k parameter of the model. It's the mean reversion speed.

public IModelParameter k
return	IModelParameter

r0 public_oe property

The starting point for the model.

public IModelParameter r0
return	IModelParameter

sigma public_oe property

The sigma parameter of the model. It's the volatility.

public IModelParameter sigma
return	IModelParameter

theta public_oe property

The theta parameter of the model. It's the long term mean.

public IModelParameter theta
return	IModelParameter