srwalk: A constructor of Sample Random Walk

In AnthonyTedde/RandomProcesses: Random Processes

Description

It generates a uniq Sampled Random Walks along with the appropriate time period. The time period goes from 0 up to T (0: time_to_maturity).

Usage

srwalk(time_to_maturity = 100, prob = c(head = 0.5, tail = 0.5), seed = 1,
  scale = 1)

Arguments

time_to_maturity	Number of time_to_maturity of the random walk
prob	Probability of occurence of head and tail for each step
seed	With same seed, 2 exeriments will 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. Furthermore this param defines the increment multiplier as well. If the scale is 100, the multiplier which defines the next value will be (+1 / -1) * 1/sqrt(100)

Value

srwalk() output a data.frame which contains each step of the time value along with the associated Sampled Random Walk value.

References

[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 83-84

Examples

# Generate a 150 steps symmetric random walk
srwalk(steps = 150)

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