SimVasicek1F: Simulate 1 factor Vasicek model

In ZScore314/ESG: Economic Scenario Generator for Asset Modeling

Description

Monthly Simulation of rates using 1 factor Vasicek model of the form dr_{t} = a(b - r_{t})dt+σε_{t}

Usage

SimVasicek1F(
  n = 1,
  param_list = list(r0 = 0.01, a = 0.5, b = 0.05, v = 0.05),
  rmin = NULL,
  t = 12,
  z_rand = NULL,
  col_rename = NULL,
  seed = NULL
)

Arguments

n	number of simulated trials
param_list	a named list with parameters r0 - initial value, a - speed of mean reversion (annual), b - mean reversion level, v - annual volatility
rmin	optional rate lower bound
t	number of future monthly timesteps
z_rand	optional vector standard normal random variables of length n * t
col_rename	optional name of output column
seed	optional starting seed
shift	optional additive shift post simulation

Value

data in the form of a tibble object with columns trial, time, r (or col_rename)

Examples

SimVasicek1F(param_list = list(r0=.01, a=.5, b=.5, v=.05))

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