dot-SimDiffusion: Simulate mean reverting diffusion process

In ZScore314/ESG: Economic Scenario Generator for Asset Modeling

Description

Monthly Simulation of rates using Ornstein-Uhlenbeck Model

Usage

.SimDiffusion(
  n = 1,
  param_list = list(r0, a, b, v),
  rmin = NULL,
  t = 12,
  g = 0,
  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
g	optional proportional conditional volatility exponent (0 = Vasicek, 1/2 = CIR)
z_rand	optional vector standard normal random variables of length n * t
col_rename	optional name of output column

Value

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

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