affineSimulate: This function simulates paths from a stochastic volatility...

In piotrek-orlowski/affineModelR: Affine Jump Diffusion Models for R

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.

Description

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.

Usage

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,
  ...
)

Arguments

paramsList	A list containing fields P and Q, containing, respectively, the P and Q parameters.
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 params.P, params.Q, jumpTransform, N.factors, rf.rate, mod.type and potentially more via the ellipsis operator (...) and returns the DPS matrices. See documentation of ODEstructs.
jumpTransform	The function that calculates the jump Laplace transform

Value

A list containing the simulated stock & volatility paths + stock price jump times + a time index

piotrek-orlowski/affineModelR documentation built on July 11, 2022, 3:25 p.m.