sdepy.cox_ingersoll_ross_process.source_dw¶
-
cox_ingersoll_ross_process.
source_dw
(dw=None, corr=None, rho=None)¶ Setup a source of standard Wiener process (Brownian motion) increments, to be used as ‘dw’ during integration.
Parameters: - dw : source, or source subclass, or None
If an object complying with the
source
protocol, it is returned (corr
andrho
are ignored). If a source subclass, it is instantiated with the given parameters, and returned. If None, a new instance ofwiener_source
is returned, with the given parameters.- corr, rho : see
wiener_source
documentation
Returns: - An object complying with the
source
protocol, - instantiating the requested stochasticity source.
- The shape of source values is set to
wshape
.
See also