BS_sim {DtD} | R Documentation |
At least one of D
, r
, or T.
needs to have
the desired length of the simulated series. All vectors with length greater
than one needs to have the same length.
BS_sim(vol, mu, dt, V_0, D, r, T.)
vol |
numeric scalar with σ value. |
mu |
numeric scalar with μ value. |
dt |
numeric scalar with time increments between observations. |
V_0 |
numeric scalar with starting value of the underlying asset, S_{0}. |
D |
numeric vector or scalar with debt due in |
r |
numeric vector or scalar with risk free rates. |
T. |
numeric vector or scalar with time to maturity. |
library(DtD) set.seed(79156879) sims <- BS_sim( vol = .1, mu = .05, dt = .2, V_0 = 100, T. = 1, D = rep(80, 20), r = .01) # plot underlying plot(sims$V) # plot stock plot(sims$S)