View source: R/affineSimulate.R
affineSimulate | R Documentation |
This function simulates paths from a stochastic volatility model with three volatility factors. One of the factors and the underlying asset prices can co-jump. The jump specification follows Duffie, Pan and Singleton (2000), p. 1361.
affineSimulate( paramsList, N.factors = 3, t.days = 1, t.freq = 1/78, freq.subdiv = 24, rng.seed = 42, init.vals = NULL, rf.rate = 0, jumpGeneratorPtr = getPointerToGenerator(fstr = "expNormJumpTransform"), jumpTransformPtr = getPointerToJumpTransform(fstr = "expNormJumpTransform")$TF, mod.type = "standard", specMaker = ODEstructsForSim, nrepl = 1, ... )
paramsList |
A list containing fields |
N.factors |
number of stochastic volatility factors (stock is not a factor) |
t.days |
Number of days to simulate |
t.freq |
Number of intraday prices to simulate |
freq.subdiv |
Number of periods each segment should be broken into when simulating |
rng.seed |
The random seed used for generations |
init.vals |
Initial values for the of the stock/volatility to start from (in case we want to continue a given path, if NULL stock will be started from 1 and the volatilities from stationary distribution.) |
rf.rate |
Assumed constant risk-free rate (annualized, continuously compounded) |
specMaker |
function that takes arguments |
jumpTransform |
The function that calculates the jump Laplace transform |
A list containing the simulated stock & volatility paths + stock price jump times + a time index
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