I’m trying to get a variable rate jump to work. I am using
## jump in price #rate1(u,p,t) = λ0 # constant jump rate rate1(u,p,t) = λ0.*exp(u) # volatility dependent jump rate # jump is normal with st. dev. equal to λ1 times current st. dev. affect1!(integrator) = (integrator.u = integrator.u.+randn(size(integrator.u)).*λ1.*exp(integrator.u./2.0)) # this works: jump1 = ConstantRateJump(rate1,affect1!) # this does not #jump1 = VariableRateJump(rate1,affect1!) jump_prob = JumpProblem(prob,Direct(), jump1)
The rate, rate1, depends on the second integrator, so I understand that it is a variable rate jump. However, I get a dimension error if I try to specify it as variable rate (jump1, commented out). The solver gives a solution if I specify it as constant rate.
Am I making an error in the syntax for a variable rate jump?