Cox Ingersoll Ross

Overview


Fixed Income analysis is a complex subject. The davinci library contains a number of differenct tool for analyzing cash flows from fixed income instruments. This corner goes through some simple examples.

{% dr = (\eta - \gamma r) dt + \sqrt{\alpha r}dW %}


Monte Carlo Simulations




copy 

let ito = await import('/lib/statistics/simulations/v1.0.0/ito.js');
// SITE
// /home/apis/api.html?url=/lib/statistics/simulations/v1.0.0/site/ito.js

let eta = 0.1;
let gamma = 0.1;
let beta = 0.1;
let alpha = 0.1

let dt = function(points){
    return eta - gamma*points[points.length-1]
}

let vol = function(points){
    return Math.sqrt(points[points.length-1]*alpha);
}

let data = [];
for(let i=0;i<5;i++){ let sims=ito.generate(300, dt, vol, 0.1)
					  sims=sims.map(p =>{
        return {
            value:p,
            sim:(i+1).toString()
        }
    });
    data = [...data,...sims]
}

$val.set('data',data);

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