SDE drift function.

Computes the SDE model's drift function given data and parameter values.

sde.drift(model, x, theta)

Arguments

model	An sde.model object.
x	A vector or matrix of data with ndims columns.
theta	A vector or matrix of parameters with nparams columns.

Value

A matrix with ndims columns containing the drift function evaluated at x and theta. If either input contains invalid SDE data or parameters an error is thrown.

Examples

# load Heston's model
hmod <- sde.examples("hest")

# single input
x0 <- c(X = log(1000), Z = 0.1)
theta <- c(alpha = 0.1, gamma = 1, beta = 0.8, sigma = 0.6, rho = -0.8)
sde.drift(model = hmod, x = x0, theta = theta)
#>         [,1] [,2]
#> [1,] 0.09875 7.95

# multiple inputs
nreps <- 10
Theta <- apply(t(replicate(nreps,theta)),2,jitter)
X0 <- apply(t(replicate(nreps,x0)),2,jitter)
sde.drift(model = hmod, x = X0, theta = Theta)
#>             [,1]     [,2]
#>  [1,] 0.10012521 7.681225
#>  [2,] 0.09890065 7.908508
#>  [3,] 0.10066564 7.803266
#>  [4,] 0.10013100 7.936043
#>  [5,] 0.09723187 7.843591
#>  [6,] 0.09690432 7.791269
#>  [7,] 0.09895958 7.813965
#>  [8,] 0.09949616 8.015569
#>  [9,] 0.09962971 7.928145
#> [10,] 0.09718042 8.149479