Overview

Vasicek Model


The Vasicek model is specified by the equation
{% dr = (b - a r) dt + \sigma dW %}

Monte Carlo Simulations


The following shows a set of simulations of the vasicek model.

copy

Code


The following code demonstrates generating a set of simulations using the ito library. 


let ito = await import('/lib/statistics/simulations/v1.0.0/ito.mjs');

let a = 0.1;
let b = 0.1;
let sigma = 0.1;

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

let data = [];
for(let i=0;i<5;i++){ let sims=ito.generate(300, dt, ()=>sigma, 0.5)
  sims=sims.map(p =>{
    return {
      value:p,
      sim:(i+1).toString()
    }
  });
  data = [...data,...sims]
}
Try it!