simGBM: 'simGBM'

In RTL: Risk Tool Library - Trading, Risk, Analytic for Commodities

Description

Simulates a Geometric Brownian Motion process

Usage

simGBM(S0 = 10, drift = 0, sigma = 0.2, T2M = 1, dt = 1/12)

Arguments

S0	Spot price at t=0
drift	Drift term in percentage
sigma	Standard deviation
T2M	Maturity in years
dt	Time step in period e.g. 1/250 = 1 business day.

Value

A numeric vector of simulated values

Author(s)

Philippe Cote

Examples

simGBM(S0=10,drift=0,sigma=0.2,T2M=1,dt=1/12)

RTL documentation built on June 12, 2021, 5:06 p.m.