R/sbmotion.R

In AnthonyTedde/RandomWalk: Random Processes

#' @title A constructor of Sampled Brownian Motion
#'
#'
#' @description  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).
#'
#'
#' @param time_to_maturity  Maximum time up to the Brownian Motion evolves
#' @param 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.
#' @param 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.
#'
#'
#' @examples
#' # 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)
#'
#'
#' @return \code{sbmotion()} outputs a \bold{data.frame} containing 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
#'
#' @export
sbmotion <- function(time_to_maturity = 4,
                     seed = 1,
                     scale = 100){
  sbmotionGenerator(time_to_maturity = time_to_maturity,
                    seed = seed,
                    scale = scale,
                    n = 1)
}