/usr/share/octave/packages/financial-0.5.0/sdemrd.m is in octave-financial 0.5.0-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 | ## Copyright (C) 2016 Parsiad Azimzadeh <parsiad.azimzadeh@gmail.com>
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU Lesser General Public License as published by the Free
## Software Foundation; either version 3 of the License, or (at your option) any
## later version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License
## for more details.
##
## You should have received a copy of the GNU Lesser General Public License
## along with this program; if not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {@var{SDE} =} sdemrd (@var{Speed}, @var{Level}, @var{Alpha}, @var{Sigma})
## @deftypefnx {Function File} {@var{SDE} =} sdemrd (@var{Speed}, @var{Level}, @var{Alpha}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{})
## Creates an object to represent a stochastic differential equation (SDE) in
## in mean-reverting drift-rate form:
##
## @center dX_t = (@var{Speed}(t) * (@var{Level}(t) - X_t))dt + (diag(X_t.^@var{Alpha}(t)) * @var{Sigma}(t))dW_t.
##
## @itemize @bullet
## @item (X_t) is an NVARS-dimensional process;
## @item (W_t) is an NBROWNS-dimensional Wiener process.
## @end itemize
##
## @itemize @minus{}@minus{}
## @item
## Variable: @var{Speed} An NVARS-by-NVARS matrix or a function. As a function,
## @var{Speed} returns an NVARS-by-NVARS matrix and has either exactly one input
## (time: @var{Speed}(t)) or exactly two inputs (time and space:
## @var{Speed}(t, X_t)).
## @item
## Variable: @var{Level} An NVARS-by-1 vector or a function. As a function,
## @var{Level} returns an NVARS-by-1 vector and has either exactly one input
## (time: @var{Level}(t)) or exactly two inputs (time and space:
## @var{Level}(t, X_t)).
## @end itemize
##
## The parameters @var{Alpha} and @var{Sigma} appear in the @@sde/diffusion
## documentation.
##
## See the @@sde documentation for a list of optional arguments.
##
## @seealso{drift, diffusion, sde}
## @end deftypefn
function SDE = sdemrd (Speed, Level, Alpha, Sigma, varargin)
if (nargin < 4)
print_usage ();
endif
if (ismatrix (Speed) && isreal (Speed))
SpeedFunction = @(t, X) Speed;
NegativeSpeed = @(t, X) -Speed;
elseif (isa (Speed, "function_handle") && nargin (Speed) == 1)
SpeedFunction = @(t, X) Speed (t);
NegativeSpeed = @(t, X) -Speed (t);
elseif (isa (Speed, "function_handle") && nargin (Speed) == 2)
SpeedFunction = Speed;
NegativeSpeed = -Speed;
else
error ("sdemrd: SPEED must either be a real matrix or a function of one or two arguments returning such a matrix.");
endif
if (iscolumn (Level) && isreal (Level))
LevelFunction = @(t, X) Level;
elseif (isa (Level, "function_handle") && nargin (Level) == 1)
LevelFunction = @(t, X) Level (t);
elseif (isa (Level, "function_handle") && nargin (Level) == 2)
LevelFunction = Level;
else
error ("sdemrd: LEVEL must either be a real column vector or a function of one or two arguments returning such a vector.");
endif
SpeedLevel = @(t, X) SpeedFunction (t, X) * LevelFunction (t, X);
Drift = drift (SpeedLevel, NegativeSpeed);
Diffusion = diffusion (Alpha, Sigma);
SDE = sde (Drift, Diffusion, varargin{:});
endfunction
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