prices.GBM.one.series: Generate one series of price data using GBM

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

Generate one series of price data using GBM

Description

Get parameter files from efforts-abm folder

Usage

prices.GBM.one.series(
  years = 50,
  start.date = as.Date("1960-01-01"),
  end.date = as.Date("2020-01-01"),
  id = 1
)

Arguments

years	number of years for which stoachstic time series should be generated
start.date	start date of time series in format as.Date("yyyy-mm-dd")
end.date	end date of time series as.Date("yyyy-mm-dd")
id	of current time series

Details

This function uses historic price data to estimate properties of these time series. These properties are then used to generate stoachstic price data using geometric brownian motion.

Value

a zoo object with price time series

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