rpgm (version 1.1.2)

rbrownian: Simulation of Brownian Motions

Description

The function rbrownian is a C-level function which uses the Ziggurat in order to simulate the normal random variables.

Usage

rbrownian(n, m, b0=0, mu=0, sd=1, T=1, drop=TRUE, nthreads=1L)

Arguments

n

integer, number of paths.

m

integer, number of steps, the step size will be T/m.

b0

double, the initial value (or a vector of initial values of size n).

mu

double, the mean.

sd

double, the standard deviation.

T

double, the final date on which the brownian motion is simulated.

drop

logical, if n = 1 and drop = TRUE then the function returns the single path of the brownian motion as a vector instead of a matrix.

nthreads

integer, the number of threads to use for parallelism.

Value

Returns a n x m+1 matrix of n path of the brownian motion.

References

https://en.wikipedia.org/wiki/Brownian_motion

See Also

https://pgm-solutions.com/packages

Examples

# NOT RUN {
rbrownian(5, 10)
#rbrownian(5, 10, nthreads = maxthreads())
# }