simGBM: GBM process simulation

In risktoollib/RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

GBM process simulation

Description

Simulates a Geometric Brownian Motion process

Usage

simGBM(
  nsims = 1,
  S0 = 10,
  drift = 0,
  sigma = 0.2,
  T2M = 1,
  dt = 1/12,
  vec = TRUE
)

Arguments

nsims	number of simulations. Defaults to 1. numeric
S0	Spot price at t=0. numeric
drift	Drift term in percentage. numeric
sigma	Standard deviation. numeric
T2M	Maturity in years. numeric
dt	Time step in period e.g. 1/250 = 1 business day. numeric
vec	Vectorized implementation. Defaults to TRUE. logical

Value

A tibble of simulated values. tibble

Author(s)

Philippe Cote

Examples

simGBM(nsims = 2, S0 = 10, drift = 0, sigma = 0.2, T2M = 1, dt = 1 / 12, vec = TRUE)

risktoollib/RTL documentation built on April 17, 2024, 1:35 p.m.