SimEquityRSLN: Regime Switching LogNormal Equity Return Model

In ZScore314/ESG: Economic Scenario Generator for Asset Modeling

Description

Simulate monthly equity returns from a 2-state RSLN model

Usage

SimEquityRSLN(
  n = 1,
  pswitch = c(0.011, 0.059),
  means = c(0.008, -0.011),
  vols = c(0.039, 0.113),
  t = 12,
  state0 = c(0, 1),
  mean_uncond = 0,
  z_rand = NULL,
  type = c("arithmetic", "log"),
  .detail = FALSE
)

Arguments

n	number of simulated trials
pswitch	vector of length two with transition probabilities for each state
means	vector of length two with monthly mean returns conditional on state (added to optional unconditional mean)
vols	vector of length two with monthly volatility conditional on state
t	number of future monthly timesteps
state0	Optional intial state. If unchanged will simulate from unconditional state probabilities
mean_uncond	Optional vector of length (n * t) additional ANNUAL return unconditional on state (e.g. real return + inflation)
z_rand	Optional normal standard deviate vector of length (n * t)
type	type of output returns: arithmetic (discrete) or log (continuous)
.detail	Include additional detail state, mean, volatility

Value

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

Examples

SimEquityRSLN(n=10, pswitch=c(.011, .059), means=c(.008, -.011), vols = c(.039, .113))

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