RTL (version 1.0.0)

simOU: OU process simulation

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)
# }