Simulation with SDE object

I have a 12 month horizon for 3 variables that I m trying to simulate. Here is what my code looks like, can you help fix the F and G function defintions

S = [ 1.2; 1.3; 1.5];

meanpath = [ 0 0.03 0.07 0.10 0.14 0.17 0.20 0.23 0.26 0.29 0.32 0.35; 0 0 0 0 0 0 0 0 0 0 0 0; 0 0 0 0 0 0 0 0 0 0 0 0];

vol = [0.14 ; 0.10 ; 0.12];

corr = [1 0.25 0.25; 0.25 1 0.25; 0.25 0.25 1];

F = @(t,X) diag(X) * meanpath(:,t+1); G = @(t,X) diag(X) * diag(sigma);

SDE = sde(F, G, 'Correlation', corr, 'StartState', S)

nPeriods = size(meanpath,2) NTrials = 10000; NSteps = 12; [siml_results,T] = SDE.simulate(nPeriods,'NTrials',NTrials, 'DeltaTime', dt);

Theres obviously something wrong with F and G but I cant figure out whats wrong here

Answer 1

[Sam]

Essentially I m trying to simulate values around a given discrete mean path across 12 months.

Maybe theres a better way to do it. Any ideas ?

Answer 2

[Peter Koetzing]

I second this request! The Econometrics Toolbox is poorly documented and it's a pitty that no one offers help ...