simGBM {RTL} | R Documentation |
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. |
S0 |
Spot price at t=0. |
drift |
Drift term in percentage. |
sigma |
Standard deviation. |
T2M |
Maturity in years. |
dt |
Time step in period e.g. 1/250 = 1 business day. |
vec |
Vectorized implementation. Defaults to TRUE. |
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)
[Package RTL version 1.3.5 Index]