rGbm: Simulate prices series of stocks
In RMOPI: Risk Management and Optimization for Portfolio Investment
rGbm R Documentation
Simulate prices series of stocks
Description
Simulate an multivariate series following Geometric Brownian Motion (GBM)
Usage
rGbm(name, time, start = 100, mu = 0.01, sigma = 0.02)
Arguments
name
vector of series names
time
vector of time, must be a "Date" type variable
start
vector of start positions
mu
vector of mu
sigma
vector of sigma
Value
a simulated multivariate GBM series
Examples
date <- as.Date("2015-01-01") + days(0:29)
rGbm(c("bear", "tiger", "swan"), date)
RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.
R Package Documentation
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| rGbm | R Documentation |
Simulate prices series of stocks
Description
Simulate an multivariate series following Geometric Brownian Motion (GBM)
Usage
rGbm(name, time, start = 100, mu = 0.01, sigma = 0.02)
Arguments
name |
vector of series names |
time |
vector of time, must be a "Date" type variable |
start |
vector of start positions |
mu |
vector of |
sigma |
vector of |
Value
a simulated multivariate GBM series
Examples
date <- as.Date("2015-01-01") + days(0:29)
rGbm(c("bear", "tiger", "swan"), date)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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