Simulate a Cox-Ingersoll-Ross process
Version 1.0.0.0 (24.3 KB) by
Dimitri Shvorob
(Exact algorithm)
Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process.
Please see CIRPATHDEMO, by following link 'Published m-files' below.
Cite As
Dimitri Shvorob (2026). Simulate a Cox-Ingersoll-Ross process (https://au.mathworks.com/matlabcentral/fileexchange/16670-simulate-a-cox-ingersoll-ross-process), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2006a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
Find more on Interest-Rate Instruments in Help Center and MATLAB Answers
Tags
Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
cirpathdemo/
cirpathdemo/html/
| Version | Published | Release Notes | |
|---|---|---|---|
| 1.0.0.0 | BSD
|
You can also select a web site from the following list
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)
Asia Pacific
- Australia (English)
- India (English)
- New Zealand (English)
- 中国
- 日本Japanese (日本語)
- 한국Korean (한국어)