sim.vasicek: Simulates the Ornstein-Uhlenbeck process.

In SMFI5: R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'

Description

Simulates the Ornstein-Uhlenbeck process

dr = alpha(beta-r)dt + sigma dW.

Usage

sim.vasicek(alpha, beta, sigma, r0, n, h)

Arguments

alpha	Mean-reversion parameter.
beta	Long term mean.
sigma	Volatility parameter.
r0	Initial rate value.
n	Number of periods.
h	Time between observations.

Value

r	Simulated annual rate in percent.

Note

Translated from Matlab by David-Shaun Guay (HEC Montreal grant).

Author(s)

Bruno Remillard

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

r = sim.vasicek(0.5,2.55,0.365,2.55,360,1/360)

Example output

Loading required package: ggplot2
Loading required package: reshape
Loading required package: corpcor

SMFI5 documentation built on May 2, 2019, 10:25 a.m.