Credit Spread Models
Model Types
DiffFusion.CoxIngersollRossModel — Type
A Cox-Ingersoll-Ross model with constant parameters.
DiffFusion.cox_ingersoll_ross_model — Function
Create a CoxIngersollRossModel.
Create a CoxIngersollRossModel from parameter vector.
Create a CoxIngersollRossModel from scalar parameters.
Model Functions for Simulation
DiffFusion.cir_z0 — Function
Return z0 parameter.
DiffFusion.cir_chi — Function
Return chi parameter.
DiffFusion.cir_theta — Function
Return theta parameter.
DiffFusion.cir_sigma — Function
Return sigma parameter.
DiffFusion.cir_moments — Function
Return first and second moments E[zt | zs] and Var[zt | zs].
Return first and second moments E[zt | zs] and Var[zt | zs].
DiffFusion.cir_lognormal_approximation — Function
Calculate lognormal approximation in CIR model.
Calculate lognormal approximation in CIR model.
DiffFusion.func_Theta_Sigma — Function
Calculate deterministic drift and diffusion component.