SimVasicek2F: Simulate 2 factor Vasicek Model (stochastic mean reverting...

In ZScore314/ESG: Economic Scenario Generator for Asset Modeling

Description

Monthly Simulation of Inflation using 2-factor Vasicek (Hull White) Model

Usage

SimVasicek2F(
  n = 1,
  param_short = list(r0 = 0.01, a = 0.5, b = 0.05, v = 0.05, rmin = NULL),
  param_long = list(r0 = 0.01, a = 0.5, b = 0.05, v = 0.05, rmin = NULL),
  t = 12,
  rcorr = 0.5,
  seed = NULL
)

Arguments

n	number of simulated trials
param_short	(short rate ) 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
param_long	(mean reversion term) 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
rcorr	correlation between long and short processes
seed	optional starting seed

Value

data in the form of a tibble object with columns trial, time, r1, r2

Examples

SimVasicek2F(param_short = list(r0=.01, a=.5, b=.05, v=.05), param_long = list(r0=.01, a=.5, b=.05, v=.05))

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