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cirvolspec

Specify Cox-Ingersoll-Ross interest-rate volatility process

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Syntax

VolSpec = cirvolspec(Sigma,Alpha,Theta)

Description

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

Note

Alternatively, you can use the Cap object to price cap instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

example

Examples

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Open Live Script

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

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Volatility, specified as a scalar using a numeric value.

Data Types: double

Mean reversion speed, specified as a scalar using a numeric value.

Data Types: double

Mean reversion level or long-term mean of the short rate, specified as a scalar using a numeric value.

Data Types: double

Output Arguments

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Volatility model for the CIRTree, returned as a structure.

Version History

Introduced in R2018a

See Also

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