simOUJ: OUJ process simulation

In RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

OUJ process simulation

Description

Simulates a Ornstein–Uhlenbeck process with Jumps

Usage

simOUJ(
  nsims = 2,
  S0 = 5,
  mu = 5,
  theta = 10,
  sigma = 0.2,
  jump_prob = 0.05,
  jump_avesize = 2,
  jump_stdv = 0.05,
  T2M = 1,
  dt = 1/250
)

Arguments

nsims	number of simulations. Defaults to 2. numeric
S0	S at t=0. numeric
mu	Mean reversion level. numeric
theta	Mean reversion speed. numeric
sigma	Standard deviation. numeric
jump_prob	Probability of jumps. numeric
jump_avesize	Average size of jumps. numeric
jump_stdv	Standard deviation of jump average size. numeric
T2M	Maturity in years. numeric
dt	Time step size e.g. 1/250 = 1 business day. numeric

Value

Simulated values. tibble

Author(s)

Philippe Cote

Examples

simOUJ(nsims = 2, S0 = 5, mu = 5, theta = .5, sigma = 0.2,
jump_prob = 0.05, jump_avesize = 3, jump_stdv = 0.05,
T2M = 1, dt = 1 / 12)

RTL documentation built on Oct. 21, 2023, 1:06 a.m.