RTL (version 0.1.5)

simOUJ: simOUJ

Description

Simulates a Ornstein<U+2013>Uhlenbeck process with Jumps

Usage

simOUJ(
  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

S0

S at t=0

mu

Mean reversion level

theta

Mean reversion speed

sigma

Standard deviation

jump_prob

Probability of jumps

jump_avesize

Average size of jumps

jump_stdv

Standard deviation of jump average size

T2M

Maturity in years

dt

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

Value

A numeric vector of simulated values

Examples

# NOT RUN {
simOUJ(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)
# }