ajdmom.mdl_1fsv.euler.r1FSV_iid

ajdmom.mdl_1fsv.euler.r1FSV_iid(v0, par, N, n_segment=10, tau=1)

Generate iid samples from mdl_1fsv by Euler approximation.

Parameters:

• v0 (float) – value of the initial variance \(v(0)\).

• par (dict) – parameters in a dict.

• N (int) – number of i.i.d samples to generate.

• n_segment (int) – number of segments the interval is split into.

• tau (float) – maturity time, or time length.

Returns:

list of i.i.d. samples.

Return type:

numpy 1-D array.