Description Usage Arguments Value References Examples
It generates a unique Sampled Brownian Motion along with the appropriate time period. The time period goes from 0 up to T (0: time_to_maturity).
1 |
time_to_maturity |
Maximum time up to the Brownian Motion evolves |
seed |
With same seed, 2 exeriments will(would, in fact not yet the case when the param scale is different) give the same output. It therefore provides reproducibles experiments. |
scale |
It defines the time partition between each unit of time. For instance if the scale is 100, the time step [0,1] will be cut in 100 parts. |
sbmotion()
outputs a data.frame containing the whole
range of time period and the value of the corresponding Brownian Motion at
that time.
[1] Brownian Motion, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 93-97
1 2 3 4 5 6 7 8 9 10 | # Generate a 150 steps Brownian Motion
sbmotion(steps = 150)
# Generate a Brownian Motion from time 0 up to 4 with each unit time interval
# cut off in 100 parts [0, 0.01, 0.02, ..., 1, 1.01, 1.02, ..., 4]
bm <- sbmotion(time_to_maturity = 4, scale = 100)
# Use the accessor to get values:
# The following give the value for brownian motion at time 2.01
RandomWalk::get_values(bm, 2.01)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.