sim.vasicek: Simulates the Ornstein-Uhlenbeck process.

Description Usage Arguments Value Note Author(s) References Examples

Description

Simulates the Ornstein-Uhlenbeck process

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

Usage

1
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

1
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.

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