simulate_series: Simulation of correlated series

In bpvgoncalves/DynHedge: Dynamic Hedge Simulation

Description

Simulation of correlated series

Usage

simulate_series(n, S0, mu, sd, corr, jumps = FALSE, delta = 0.001, lambda = 2)

Arguments

n	Number of steps to be computed
S0	Vector of initial prices. The number of series will be deduced from the number of prices.
mu	Vector of Gaussian drift factors
sd	Vector of Standard Deviations
corr	Correlation Matrix
jumps	Optional. Use Jump-Diffusion process. Default: False
delta	Optional. Jump distribution parameter. Default: 0.001
lambda	Optional. Jump frequency parameter. Default: 2

Value

  A matrix of n rows by #series columns

Examples

sim <- simulate_series(10,
                       c(8.88, 5.55),
                       c(0, 0),
                       c(0.02, 0.05),
                       matrix(c(1, 0.9, 0.9, 1), nrow = 2))

bpvgoncalves/DynHedge documentation built on Dec. 19, 2021, 10:52 a.m.