lamp.simulate_iter: Simulate lambda process from stable distribution iteratively

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Simulate lambda process from stable distribution iteratively

Description

Simulate lambda process from stable distribution iteratively until target length of result is reached. It uses multi-core capability to run lamp.simulate1 in parallel. If file slot is specified, simulation result will be persisted to it periodically. A plot interface is provided to monitor the progress. A CPU temperature interface is provided to control CPU from overheating.

Usage

lamp.simulate_iter(
  object,
  use.mc = 4,
  sim.length = 1000,
  reset.cache = FALSE,
  drop = 10,
  keep.tau = 1,
  plot.util = lamp.plot_sim6,
  cpu.temperature = 68,
  cpu.temperature.util = NULL
)

Arguments

object	an object of lamp class
use.mc	numeric, number of cores for parallel simulations. Default is 4.
sim.length	numeric, number of Z to simulate. Default is 1000.
reset.cache	logical, to reset simulation cache or not prior the run. Default is FALSE.
drop	numeric, number of tau to discard at the end per iteration. Default is 10.
keep.tau	numeric, 0 to clean up, 1 to return unused tau, 2 to return all tau. Default is 1.
plot.util	function, interface to plot simulation results. Default is lamp.plot_sim4.
cpu.temperature	numeric, temperature above which is overhead. Default is 68.
cpu.temperature.util	function, interface to get CPU temperature. Default is NULL.

Value

an object of lamp class with Z, B, N populated

Author(s)

Stephen H-T. Lihn

ecd documentation built on May 10, 2022, 1:07 a.m.