Description Usage Arguments Details Value Author(s) Examples

A collection of functions to produce time series using stochastic processes.

1 |

`theta` |
Rate of dissipation |

`mu` |
Mean |

`sigma` |
Volatility |

`initial` |
Initial value |

`end` |
The end date |

`start` |
The starting date |

`obs` |
Number of observations to produce |

The 'ou.process' function generates a mean-reverting time series according to the Ornstein-Uhlenbeck process.

An xts object containing a time series of values representing asset prices whose evolution is defined by the given process.

Brian Lee Yung Rowe

1 | ```
series <- ou.process(1, 1.2, 0.3, obs=50)
``` |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.