Mastering-Python-for-Finance-source-codes

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Hi,

I suspect in your CIR model you are forgetting to scale the brownian motion term. If I am reading your code correctly, instead of:

dr = K*(theta-rates[-1])*dt + sigma*np.sqrt(rates[-1])*np.random.normal()

I would have said:

dr = K*(theta-rates[-1])*dt + sigma*np.sqrt(rates[-1])*np.sqrt(dt)*np.random.normal()

What am I missing?

-VV

you're right, please scale it.