simOUt: OU process simulation

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

OU process simulation

Description

Simulates a Ornstein–Uhlenbeck process with mu as a function of time

Usage

simOUt(
  nsims = 2,
  S0 = 0,
  mu = dplyr::tibble(t = 0:20, mr = c(rep(2, 7), rep(4, 14))),
  theta = 12,
  sigma = 0.2,
  T2M = 1,
  dt = 1/12
)

Arguments

nsims	number of simulations. Defaults to 2. numeric
S0	S at t=0. numeric
mu	data frame of mean reversion level as a function of time. tibble
theta	Mean reversion speed. numeric
sigma	Standard deviation. 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

mu = dplyr::tibble(t = 0:20,mr = c(rep(2,7),rep(4,14)))
simOUt(nsims = 2, S0 = 5, mu = mu, theta = .5, sigma = 0.2, T2M = 1, dt = 1 / 12)

RTL documentation built on May 29, 2024, 2:26 a.m.