SimEquityILN: Simulate Independent Lognormal (ILN)

In ZScore314/ESG: Economic Scenario Generator for Asset Modeling

Description

Simulate monthly returns assuming log returns in non-overlapping are iid normal with constant mean and volatility

Usage

SimEquityILN(
  n = 1,
  param = c(0.08, 0.16),
  t = 12,
  type = c("arithmetic", "log"),
  seed = NULL
)

Arguments

n	number of simulated trials
param	Vector of length two containing 1 - expected annual (arithmetic) return 2 volatility of stock price per year (sigma of log returns)
t	number of future monthly timesteps
type	type of output returns: arithmetic (discrete) or log (continuous)
seed	optional starting seed

Value

data in the form of a tibble object with columns trial, time, mo_return, cum_return, accum

Examples

SimEquityILN(n=10, c(.08, .16))

ZScore314/ESG documentation built on Feb. 11, 2022, 12:15 a.m.