R/BrownianPaths.R

In GUIDE: GUI for DErivatives in R

BrownianPaths <-
function(){
    
    initialprice <- 0 # lets keep this fixed
    time <- 1
    steps <- 250
    dt <- time/steps
    #   paths <- 6
    sigma <- 1
    sigmasqrtdt <- sigma*sqrt(dt)
    
    
    my.draw <- function(panel) {
      paths <- panel$paths
      
      #   ds = S + S(mudt +sigmasqrtdt*epsilon)  
      Brownianprices <- function(initialprice,steps,paths,sigmasqrtdt){
        prices <- matrix(data=NA, nrow=steps+1,ncol=paths) 
        prices[1,] <- initialprice
        for (i in 2:(steps+1)){
          prices[i,] <- prices[i-1,]+ sigmasqrtdt*rnorm(paths)
        }
        return(prices)
      }
      
      prices <-Brownianprices(initialprice,steps,paths,sigmasqrtdt)
      
      x.axis <- seq(0,1,length=steps+1)  
      
      #if (length(dev.list()) == 0) 
      #  dev.new()
      my.title <- paste(paths, " Brownian Motions")
      matplot(prices,main= my.title,xlab="time", ylab="price",type='l',lwd=2)
      panel
    }
    
    my.redraw <- function(panel) #not needed bcos we are not using tkr plot
    {
      rp.tkrreplot(panel, my.tkrplot)
      panel                                                                       
    }
    
    my.panel <- rp.control(title = "Brownian Motion", paths=1, size=c(500,400))
    
    
    #rp.doublebutton(panel = my.panel, variable= sigma, step = 0.05, range = c(0.00, 0.50),
    #                   title = "volatility",  action = my.draw)
    #rp.doublebutton(panel = my.panel, variable= mu, step = 0.04, range = c(0.00, 0.20),
    #                   title = "drift", action = my.draw)
    rp.doublebutton(panel = my.panel, variable= paths, step = 1, range = c(1, 10),
                    showvalue=TRUE, title = "Paths", action = my.redraw)
    rp.tkrplot(my.panel, my.tkrplot, my.draw, pos="right", hscale=2,vscale=2) # doesnt appear very good
    #rp.do(my.panel, my.draw)
  }