RTL (version 0.1.6)

simGBM: simGBM

Description

Simulates a Geometric Brownian Motion process

Usage

simGBM(S0 = 10, drift = 0, sigma = 0.2, T2M = 1, dt = 1/12)

Arguments

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.

Value

A numeric vector of simulated values

Examples

# NOT RUN {
simGBM(S0=10,drift=0,sigma=0.2,T2M=1,dt=1/12)
# }