sbmotionGenerator: A generator of Sampled Brownian Motion

In AnthonyTedde/RandomProcesses: Random Processes

Description

It generates multiple (n) Sampled Brownian Motions - Wiener Process) along with the appropriate time period. The time period goes from 0 up to T (0: time_to_maturity).

Usage

sbmotionGenerator(time_to_maturity = 4, seed = 1, scale = 100, n = 1)

Arguments

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.
n	Number of samples generated by the function

Value

sbmotionGenerator() outputs a list of data.frame. Each data.frame in the list contains the whole range of time period and the value of the corresponding Brownian Motion at that time.

References

[1] Brownian Motion, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 93-97

Examples

# Generate a list of 20 sampled Brownian Motions
sbmotionGenerator(n = 20)

AnthonyTedde/RandomProcesses documentation built on Dec. 14, 2021, 10:39 a.m.