RTL (version 0.1.6)

simOU: simOU

Description

Simulates a Ornstein<U+2013>Uhlenbeck process

Usage

simOU(S0 = 5, mu = 5, theta = 0.5, sigma = 0.2, T2M = 1, dt = 1/12)

Arguments

S0

S at t=0

mu

Mean reversion level

theta

Mean reversion speed

sigma

Standard deviation

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 {
simOU(S0=5,mu=5,theta=.5,sigma=0.2,T2M=1,dt=1/12)
# }