state_simul_mult: States simulation by Geometric Brownian Motion

In veldanie/SuraInvestmentAnalytics: Investment Analytics

States simulation by Geometric Brownian Motion

Description

Takes some initial states and smulates trajectories.

Takes some initial states and smulates trajectories.

Usage

state_simul_mult(S0, times, mu, sigma, rho, M = 1000)

state_simul_mult(S0, times, mu, sigma, rho, M = 1000)

Arguments

S0	Vector of initial states.
times	Future times in years to simulate.
mu	Drift.
sigma	Volatility.
rho	Correlation matrix.
M	Number of trajectories.
S0	Vector of initial states.
times	Future times in years to simulate.
mu	Drift.
sigma	Volatility.
rho	Correlation matrix.
M	Number of trajectories.

Value

Simulated trajectories.

Simulated trajectories.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.