jMCPri: Monte-Carlo Price Simulation

Description Usage Arguments Value Note Author(s) References See Also Examples

Description

Using when you need a series of price to do back-testing.

This function using normal return model to simulate price.

Related report: Value at Risk.<researchgate.net>

Usage

1
jMCPri(s0, mu, sigma, m)

Arguments

s0

The initial price or the price at the first day.

mu

Expected (or drift) of return.

sigma

Standard deviation (or volatility) of return.

m

Number of observations.

Value

An array of price.

Note

viet-hung.vu@jvn.edu.vn

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

1
2
3
4
5
s0 <- 100
mu <- 0.02
sigma <- 0.1
m <- 1000
jMCPri (s0, mu, sigma, m) 

Example output

   [1] 101.09053 100.43528 100.22520 110.35731  89.84085 117.57433  96.16814
   [8]  92.51182  89.59717  79.36701  88.06510  98.39552 101.51360  94.29838
  [15] 109.83000 100.78243  93.57484  91.46761  95.54548 109.39752  97.07426
  [22] 108.86291  96.54824 113.01487  94.83395 116.21406  92.76368  91.66140
  [29]  99.23187  99.19154 108.10172  88.39885 102.50144 105.74637 100.90605
  [36]  97.23069  92.71079 104.79905  76.55743 109.31546  96.93045  88.53417
  [43] 101.82447  83.77719  94.40235  96.55167 101.84691  83.72031 110.86105
  [50] 101.44216 105.60231  85.46595  93.78672 112.38754  96.32624 101.71181
  [57]  96.76003  96.98723 123.49061 100.54788 110.24524 114.86325  89.65249
  [64] 103.33964 101.13773  95.52525 123.31205 108.42096 113.71509  95.05943
  [71] 108.32087 140.67271 112.36453 116.17049  89.61670 100.80875 102.90261
  [78]  94.15111 122.29519 104.77804  95.13710  98.61407  94.11738  96.95397
  [85] 111.70773  97.77558  87.81817  89.47164  93.66587  90.65264 103.69068
  [92]  97.30447  94.97180  86.83554  80.01406 104.83246 120.20692 103.61709
  [99]  91.81083 101.73097 115.32174 110.28183  92.59823 100.99026  83.70942
 [106] 114.00540 105.84847 107.17178 121.13327 104.19005  91.33804 102.37060
 [113] 124.02218 101.38518  95.75947 124.91792 109.50084  98.82505 107.72425
 [120] 106.45375  97.91715  93.35351 102.42609 101.42710 107.02442  93.09540
 [127]  83.52371 106.76197 118.59350 108.21787  98.79048  97.17382  92.93312
 [134]  91.37967 105.49607  92.89374 115.11993  91.23865  96.61719 103.39481
 [141] 107.01843  97.62253 103.11941 117.29297  93.84292  96.09958  96.66359
 [148] 103.39133 103.71465 106.45595 103.03246  96.81627  82.35714  89.90977
 [155]  95.42201  92.39615 107.58013 108.44966  83.18512 102.29743 114.47952
 [162]  97.92535  96.87796 101.47015  92.51398  78.92065 107.21370  92.42261
 [169]  95.60745  99.42913 103.13519 104.18907 103.06068 106.16434 112.20270
 [176] 123.74124  95.12767 109.66301  77.41928  94.63559  94.14521 108.21680
 [183] 110.49789 109.67254 105.60381 106.95624 110.80613  97.32974  88.18508
 [190] 110.52869  91.78977 112.87419 112.87705 102.85055  95.81134 109.36201
 [197]  89.40200 123.14738  94.17843 110.81533  91.25844  96.83675 101.09029
 [204]  86.90267  93.90307  90.39016 103.04577 105.92881 128.32405  95.01098
 [211] 105.11665  80.65952 118.82798 106.92976  95.40893 112.11762  97.79479
 [218] 114.74322 106.28334  92.82216  94.85118  88.83782  93.81474 103.11445
 [225]  86.52825 108.75256  99.29890  85.64333  84.83865  91.14759 102.39667
 [232]  99.25598  98.19495  93.32646  94.16897 112.05157 113.51172 108.54176
 [239]  95.23133  94.47241 102.95401 106.81048  93.92945  81.14063  96.14253
 [246] 121.55399 110.15149 109.78002 105.64105  96.02966  85.71050  90.04850
 [253]  78.12530 104.34482 111.60417 114.11153 117.26418  92.62201  90.39132
 [260] 103.06384 112.11327 107.94047 103.64446 111.84622 112.98427 100.82523
 [267] 117.62656  90.98605  79.04124  97.41522 102.07077  90.71477  92.13621
 [274]  98.87897  99.65016 109.59185 107.33271  92.52878  92.16460 107.69659
 [281]  89.24110 105.08129 104.62005 109.60052  91.56323  99.83815 102.08447
 [288] 103.85700 104.77493  92.08833 106.21453 110.18223  94.86340 108.91722
 [295] 100.47681 100.14829  92.74045  84.61304  99.92561 102.45499 137.25797
 [302] 107.60573  96.29156 105.83121 108.17832  92.00549  92.03705 108.78235
 [309] 108.61308 104.59820 103.70288 104.65309 100.57039 107.40031 107.70162
 [316]  97.09102 109.57463  85.12557  94.89995  88.37225  89.07064  81.31756
 [323]  93.73458 105.66952 101.02323 109.78476 114.44051 101.13716  95.13448
 [330]  95.16788  99.43646 104.05770  95.44896 112.10446  83.94930 122.49236
 [337] 105.58472 100.04005 108.66503  93.54979 100.25007  82.19105 105.11186
 [344] 101.76163 101.63857  96.64801 110.31615 101.60927 104.66037 116.83887
 [351]  96.29867  94.89404 105.24263  87.99067  93.85848 103.36469  84.92032
 [358] 119.31956  93.96201 103.23201 113.73714 101.70027 105.78124  99.92631
 [365] 112.90553 101.06080 137.19360  92.21088  92.68043 115.43491  82.99883
 [372]  97.13534 113.52924 113.40227  99.76368  80.06674 102.84887 107.72594
 [379] 100.02930  95.78348  87.40477  94.03557 110.42902  82.70701 105.99512
 [386]  99.09986 118.57017  93.43018 109.34390 109.02814 103.24387  90.28058
 [393] 116.43471  83.35560  95.06364 100.04441  80.75400  94.05444  91.46089
 [400] 104.27206 121.34944 104.70443  96.43316  85.34049 114.42392  93.01497
 [407] 118.38014 102.22190  99.28828 111.91916  95.71712 106.74945  89.49411
 [414]  84.50669 117.54543 106.17270  87.39702  98.64223 106.06665  97.38697
 [421] 121.81838 106.59487 113.45626  97.63409  80.65659 112.98802  89.87380
 [428]  80.74433  87.60852 102.03582  92.41316 109.18889  99.96278  94.43757
 [435] 134.03675  91.80511  99.79603 110.66308  88.23336 110.91542 120.45385
 [442] 118.16726 101.62433 108.46234 105.39158  97.93395  96.76140 118.71999
 [449] 120.23368 104.23889  87.60551  89.68734 112.89582 104.95674 108.05156
 [456]  90.60724  89.52517 101.12124  91.42476 112.92504 120.19541  97.33248
 [463]  94.72137 107.19632  97.04940 100.00250  94.81114 100.60510  96.54197
 [470]  85.83778  98.67885 114.35875 112.66311  88.44573  97.47965 109.04604
 [477] 118.69025 106.25715 117.88289  91.23839 108.83710  98.93418 116.12598
 [484]  96.86692  93.71802 122.64067  99.34788 115.20328 109.08594  94.17994
 [491]  98.23105  89.42967  97.08199  92.85867 104.81578  93.94003 123.83779
 [498] 126.89104 102.76978  96.12886  99.80244  94.99107  97.55036  95.88480
 [505]  99.43292  94.93598  95.31629 106.40226 100.50353 105.19985 110.20052
 [512] 101.11299 105.59418 112.05971 123.73394 112.91866  99.04288  99.72916
 [519] 117.14457  97.01840 100.48033  88.86176  92.09202 106.08606 115.81025
 [526] 106.64105 101.16410 107.51822  94.79362  98.32962  90.57589  96.39784
 [533]  82.92848  97.74468  92.34139  96.81011 101.50118 114.34035 116.53719
 [540]  94.53007  95.67510 107.36809 121.52011  99.55574  96.44605  90.47399
 [547]  94.76557  93.72093  95.15517  94.05411 109.44362  98.63317 117.06226
 [554] 104.60070 118.48380  87.16796 110.13482 103.03713 111.62429 101.19578
 [561] 117.02989 100.81086 104.07209 111.93839  97.79771  88.65330 103.56738
 [568] 104.41994  90.84856  91.42457 120.84948 122.11488 100.08263 117.52393
 [575]  98.38732 103.60296  96.57851  90.85636 102.44714 121.58228  96.23039
 [582] 110.38266 110.39513 110.24718 101.04879 116.09212  85.55163  96.55266
 [589]  90.94783 100.35979  90.27251 111.83004  98.31950  89.99298 120.32882
 [596] 103.32483 110.13451  97.76785  81.56897  96.51640  96.68599  98.15158
 [603] 103.83563 117.05222 117.12693  97.41968  89.47543 136.05396 117.19183
 [610] 132.07142 107.23132  92.69649  95.48749 114.75176  95.62434 108.97206
 [617] 120.44227  91.45709  96.62113  99.00077 105.65091  83.61770 103.56892
 [624] 109.81358 105.24192  86.56731  99.98094  98.45889 105.59583  96.01785
 [631] 113.37456 116.20898  86.96912  93.11707  91.40484  99.29545  98.22125
 [638] 112.21482 114.68004 107.96591  95.70464  93.36423 101.86411 105.01970
 [645]  88.66764 105.12951 103.23623  99.49102  93.09475 109.86247  87.68912
 [652] 106.51840 121.29290 100.98449 108.50170 107.48181  90.29316 101.63971
 [659]  95.96597 116.40162 122.56138 101.11510  94.09978  97.75781 106.15587
 [666]  96.27297 103.08341  95.74053  99.62640  90.46981 116.95188  85.57749
 [673] 110.95607  88.43405 108.49857 104.88952  97.71156  92.29373  91.22980
 [680] 107.82187 104.17259 109.39900 113.13466 121.74686  89.63270 117.60464
 [687]  90.18529 105.24415  92.95501  86.09884  91.12107 110.15722  94.22287
 [694]  92.82279 109.60668 110.19166  85.04295 110.36042  92.90464 106.22928
 [701] 103.60472 103.60827  97.13383 118.52336 102.50399 104.38374  85.59197
 [708]  94.05650 117.92109  99.39448 122.98414 108.13865 133.40925 113.93369
 [715] 103.99832 106.36135 139.10207 105.04300 129.56674 100.04264  86.09107
 [722]  91.80589 106.54870 102.55073 105.72951 110.97406 114.76718 116.59509
 [729]  85.50214 102.19057  98.80182 103.77573 105.85783  95.15508  83.07893
 [736] 108.06844  79.01071 102.92038 109.75366 100.26090 100.68338 111.57299
 [743]  89.12382 111.76453 110.17624  92.94673 112.40808 107.05589  92.27302
 [750] 106.63569  95.03859 112.84985 102.90222 101.04917  96.99046 114.16780
 [757]  91.84041 112.60026  99.78112  89.59339  92.68716  94.21860 110.73704
 [764]  90.64558 100.61650  89.90529 101.99654  91.68875 100.07419 101.46769
 [771] 110.37911  83.05889 106.28635 108.42610  98.90279 105.34521 103.78361
 [778] 100.92399  93.60121 116.29992 108.84732 110.20856  90.71696 116.61756
 [785]  87.83790  93.48062 102.80364 108.29093 105.92911  93.92640  88.56952
 [792]  96.01986 111.87905  90.47704 123.79059 114.75026  93.38345 125.68650
 [799] 103.93784  84.42627 103.64701  94.00492 101.85694  86.98660  94.23297
 [806] 104.59473  99.57178  90.03339  97.37882 111.99368 100.83850 101.71924
 [813] 106.28314 102.37120  92.32495  92.73648  97.02730 112.38336 105.79249
 [820]  87.72074  97.88041  93.78163 103.04453 104.41241  87.60376  95.11243
 [827]  95.57319 111.20529 108.51056  93.60725 113.69039 100.04550  98.61945
 [834]  98.10486  89.20555 119.57637  96.86894 104.75681  94.40679 111.01220
 [841] 111.60594 104.14981 110.98702  83.58835 105.04455  91.34093 108.00399
 [848] 106.81550  93.08751 108.91285 108.09687  92.44400  97.61922 110.92830
 [855] 127.97795 112.44483 111.04628  91.68152 117.21787 117.19227 117.63476
 [862] 106.41017 105.50195  85.99034  88.38303  91.20853  93.22193  91.77973
 [869] 113.96059  92.56221 103.68612 106.11484  98.92138  97.89789 107.80083
 [876] 111.99013  97.50211 111.75597  86.27651  83.89680 127.70728  89.21431
 [883]  99.62143 105.76464  97.26884  98.10190 102.24349 117.85888  92.07314
 [890] 102.11112  93.09447 118.32692 116.76443  83.70362 103.78107  96.57012
 [897] 101.55754 115.40916 103.24509 120.77064  92.20609  83.85702  92.55990
 [904]  85.41772  91.38199 105.52908 105.44887  96.52099  93.60602 113.15356
 [911]  94.50689  77.08359 110.39039 109.52434 101.78679  99.09107 114.72332
 [918]  86.47023  98.70151  90.62124  97.66864 113.72985  99.93207  96.33066
 [925]  97.58972 100.57708 110.82908 101.08275  99.80044 111.28004  93.38043
 [932]  99.65346  92.90130 107.89799  96.05338 111.22297 107.85662  97.90396
 [939] 108.50692 103.59279 121.97178  99.01498 117.08832 106.63149  89.01016
 [946]  91.33937  86.04765 110.41996 107.74337 100.25337  90.31929 106.65145
 [953] 103.13537 115.02426 103.01239 102.46767  99.99208 107.31570 113.55083
 [960]  98.82513 118.44472 117.76183  99.05564  96.45525  84.86851  86.10732
 [967]  81.45951 103.22805  88.69670 111.23848 104.15312 122.18429  97.70687
 [974]  98.79247 105.25165  95.90391 107.65551  92.44114  86.70509 115.95656
 [981]  73.62441  97.38967  99.91711  95.60901  84.87258  92.99965  89.64119
 [988]  95.57516  93.89060 111.95860  99.70531  88.74327  90.98605 105.86925
 [995] 104.09516 100.92647  93.18647 101.48259  96.87037 124.21486

jvnVaR documentation built on May 1, 2019, 8:29 p.m.