prices.GBM.cor: Creates a matrix of correlated daily price paths using...

In EFForTS-B10/Refforts: What the Package Does (One Line, Title Case)

Creates a matrix of correlated daily price paths using Geometric Brownian Motion.

Description

Get parameter files from efforts-abm folder

Usage

prices.GBM.cor(N, S0, mu, sigma, cor.mat)

Arguments

N	Number of days in the path.
S0	The initial price of the asset.
mu	Drift or average daily continuously compounded returns.
sigma	Volatility or standard deviation of daily continuously compounded returns.
cor.mat	The correlation matrix of the daility contiuously compounded returns.

Details

Creates a matrix of correlated daily price paths using Geometric Brownian Motion.

Value

A matrix of simulated daily price paths of length N having the same number of assets as in the mu and sigma vectors. Note that mu and sigma must have the same dimensions.

EFForTS-B10/Refforts documentation built on March 26, 2023, 5:45 p.m.