close all
clear all
load('SDEdataA.mat')
N=length(Vfull);

dt=1/12;

% quasi CIR
yN=Vfull(2:end)';
vx=Vfull(1:end-1)';
my=@(z) vx+(z(1)*z(2)-z(1)*vx)*dt;%Z=kappa theta
sigma=@(z) z(1)*sqrt(vx)*sqrt(dt);%Z=sigma
ll=@(z) +1/2*sum(log(sigma(z(3)).^2))+1/2*sum((yN-my([z(1) z(2)])).^2./sigma(z(3)).^2);%Z=kappa theta sigma
theta0=[1 1 1];
[theta,~,~,~,~,hess]=fminunc(ll,theta0);
KAPPA=theta(1); THETA=theta(2); SIGMAV=theta(3);
% fishinv_cir = inv(hess)/N
% stdev_cir=diag(fishinv_cir)

%quasi CKLS
yN=Sfull(2:end)';
sx=Sfull(1:end-1)';
my=@(z) z(1)*sx*dt; %Z=my
sigma=sqrt(vx).*sx*sqrt(dt);
ll=@(z) +1/2*sum(log(sigma.^2))+1/2*sum((yN-my(z)).^2./sigma.^2); %Z=my
theta0=1;
[theta,~,~,~,~,hess]=fminunc(ll,theta0);
MY=theta;
% fishinv_ckls = inv(hess)/N
% stdev_ckls=diag(fishinv_ckls)
KAPPA
THETA
SIGMAV
MY