CIRProcess.CIR2.b C# (CSharp) Method

b() public method

This function defines the volatility in the Cox-Ingersoll-Ross Two factors Markov process. The formula to calculate the B component is B[0] = sqrt(previous state) * sigma1 B[1] = sqrt(previous state) * sigma2.
public b ( int i, double x, double b ) : void
i int The parameter is not used.
x double The state vector at the previous state.
b double The output of the function.
return void
        public void b(int i, double* x, double* b)
        {
            b[0] = AdjSqrt(x[0]) * this.sigma1.fV();
            b[1] = AdjSqrt(x[1]) * this.sigma2.fV();
        }