RTL (version 1.0.0)

simGBM: GBM process simulation

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)
# }