/usr/share/octave/packages/financial-0.5.0/cev.m is in octave-financial 0.5.0-1.
This file is owned by root:root, with mode 0o644.
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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 | ## 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{CEV} =} cev (@var{Return}, @var{Alpha}, @var{Sigma})
## @deftypefnx {Function File} {@var{CEV} =} cev (@var{Return}, @var{Alpha}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{})
## Creates an object to represent a constant elasticity of variance (CEV)
## stochastic differential equation (SDE):
##
## @center dX_t = (@var{Return}(t) * X_t)dt + (diag(X_t.^@var{Alpha}(t)) * @var{Sigma}(t))dW_t
##
## See the @@sde documentation for a list of optional arguments.
##
## @seealso{sde}
## @end deftypefn
function CEV = cev (Return, Alpha, Sigma, varargin)
if (nargin < 3)
print_usage ();
endif
## Infer NVARS
NVARS = 0;
if (isnumeric (Return))
NVARS = rows (Return);
elseif (isnumeric (Alpha))
NVARS = rows (Alpha);
elseif (isnumeric (Sigma))
NVARS = rows (Sigma);
else
NVARS = sdenvars (varargin{:});
endif
CEV = sdeld (zeros (NVARS, 1), Return, Alpha, Sigma, varargin{:});
endfunction
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