Description Usage Arguments Value References Examples
View source: R/sbmotionGenerator.R
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).
1 | sbmotionGenerator(time_to_maturity = 4, seed = 1, scale = 100, n = 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. |
n |
Number of samples generated by the function |
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.
[1] Brownian Motion, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 93-97
1 2 | # Generate a list of 20 sampled Brownian Motions
sbmotionGenerator(n = 20)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.