simOUJ {RTL}

OUJ process simulation

Description

Simulates a Ornstein–Uhlenbeck process with Jumps

Usage

simOUJ(
  nsims = 2,
  S0 = 5,
  mu = 5,
  theta = 10,
  sigma = 0.2,
  jump_prob = 0.05,
  jump_avesize = 2,
  jump_stdv = 0.05,
  T2M = 1,
  dt = 1/250
)

Arguments

nsims

number of simulations. Defaults to 2. numeric

S0

S at t=0. numeric

mu

Mean reversion level. numeric

theta

Mean reversion speed. numeric

sigma

Standard deviation. numeric

jump_prob

Probability of jumps. numeric

jump_avesize

Average size of jumps. numeric

jump_stdv

Standard deviation of jump average size. numeric

T2M

Maturity in years. numeric

dt

Time step size e.g. 1/250 = 1 business day. numeric

Value

Simulated values. tibble

Author(s)

Philippe Cote

Examples

simOUJ(nsims = 2, S0 = 5, mu = 5, theta = .5, sigma = 0.2,
jump_prob = 0.05, jump_avesize = 3, jump_stdv = 0.05,
T2M = 1, dt = 1 / 12)