spot_simul_mult: States simulation by Geometric Brownian Motion
In veldanie/SuraInvestmentAnalytics: Investment Analytics
View source: R/spot_simul_mult.R
spot_simul_mult R Documentation
States simulation by Geometric Brownian Motion
Description
Takes some initial states and smulates trajectories.
Usage
spot_simul_mult(spot, times, mu, SIGMA, M = 1000, per = 12)
Arguments
spot
Vector of initial states.
times
Future times in years to simulate.
mu
Drift.
SIGMA
Volatility.
M
Correlation matrix.
per
Number of trajectories.
Value
Simulated trajectories.
veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.
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View source: R/spot_simul_mult.R
| spot_simul_mult | R Documentation |
States simulation by Geometric Brownian Motion
Description
Takes some initial states and smulates trajectories.
Usage
spot_simul_mult(spot, times, mu, SIGMA, M = 1000, per = 12)
Arguments
spot |
Vector of initial states. |
times |
Future times in years to simulate. |
mu |
Drift. |
SIGMA |
Volatility. |
M |
Correlation matrix. |
per |
Number of trajectories. |
Value
Simulated trajectories.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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