Nothing
JDPaths <-
function(){
# http://www.thetaris.com/wiki/Jump_Diffusion
initialprice <- 100 # lets keep this fixed
time <- 1
steps <- 250
dt <- time/steps
# paths <- 6
my.draw <- function(panel) {
mu <- panel$mu
sigma <- panel$sigma
paths <- panel$paths
nu <- panel$nu # mean of jumps
delta <- panel$delta # std of jumps
lambda <- panel$lambda # jump intensity or # jumps/year
# ds = S + S(mudt +sigmasqrtdt*epsilon)
JDStockprices <- function(initialprice,steps,paths,sigma,mu,nu,delta,lambda){
prices <- matrix(data=NA, nrow=steps+1,ncol=paths)
prices[1,] <- initialprice
for (i in 2:(steps+1)){
P = rpois(n=paths,lambda=lambda*dt)
U = exp(P*nu + sqrt(P)*delta*rnorm(1)) # the poisson process
prices[i,] = prices[i-1,] * exp((mu-lambda*(exp(nu+0.5*delta^2)-1)-0.5*sigma^2)*dt + sigma*sqrt(dt)*rnorm(1))*U
}
return(prices)
}
prices <-JDStockprices(initialprice,steps,paths,sigma,mu,nu,delta,lambda)
x.axis <- seq(0,1,length=steps+1)
#if (length(dev.list()) == 0)
# dev.new()
my.title <- paste(paths, " Jump Diffusion Motions", "(mu=", mu, ", sigma=", sigma,")")
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 = "Jump Diffusion", mu = 0.1, sigma = 0.25, nu=-0.1, delta=0.05,lambda=1,paths=1, size=c(500,400))
rp.doublebutton(panel = my.panel, variable= mu, step = 0.04, range = c(0.00, 0.20),
showvalue=TRUE, title = "Drift", action = my.redraw)
rp.doublebutton(panel = my.panel, variable= sigma, step = 0.05, range = c(0.00, 0.50),
showvalue=TRUE, title = "Volatility", action = my.redraw)
rp.tkrplot(my.panel, my.tkrplot, pos ="right", my.draw, hscale = 2, vscale = 1.8) # doesnt appear very good
rp.doublebutton(panel = my.panel, variable= nu, step = 0.1, range = c(-0.2, 0.2),
showvalue=TRUE, title = "Mean of Jumps", action = my.redraw)
rp.doublebutton(panel = my.panel, variable= delta, step = 0.1, range = c(0, 0.3),
showvalue=TRUE, title = "Std Dev of jumps", action = my.redraw)
rp.doublebutton(panel = my.panel, variable= lambda, step = 2, range = c(1, 10),
showvalue=TRUE, title = "Jump Intensity", action = my.redraw)
rp.doublebutton(panel = my.panel, variable= paths, step = 1, range = c(1, 10),
showvalue=TRUE, title = "Paths", action = my.redraw)
rp.do(my.panel, my.draw)
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.