GBM: GBM Model Fitting

In zhangkd5/riskCalc: Risk Calculation System -- MATH G4082 Project

Description

A generic function which is the creator for an S3 class of multivariate GBM model.

Usage

GBM(...)

## Default S3 method:
GBM(drift, volatility, S0, corr = NULL, Names = NULL,
  rate = 0, divRate = 0, ...)

## S3 method for class 'stocksData'
GBM(data, len = 5, lambda = NULL,
  method = c("unweighted", "exp-weighted"), ...)

Arguments

...	arguments to be passed to or from methods.
drift	a vector or matrix, which manually sets the drift of the model.
volatility	a vector or matrix, which manually sets the volatility.
S0	a vector or matrix, which specifies the spot price.
corr	a list of correlation matrices.
Names	a character vector that specifies the symbols of the stocks.
rate	a numerical scalar or vector specifying the risk free rate.
divRate	a scalar, vector or matrix, which specifies the dividend rates.
data	an object of class or inherited from stocksData.
len	the window size in years.
lambda	the decay factor used by exponential weighting method. If NULL, the function will use the equivalence of len.
method	a character string indicating calibration method to be used. Must be "unweighted" (default) or "exp-weighted", can be abbreviated.

Details

This generic function is the mid-layer of the risk calculation system, which performs model calibration based on historical data and parameter specification. See model documentation for details.

Value

An object of class "GBM" which contains the data and the parameters.

See Also

stocks, addOptions, portfolio.

zhangkd5/riskCalc documentation built on May 4, 2019, 10:16 p.m.