rTrade

Simulate stock trade data with assumption that the stock price following Geometric Brownian Motion (GBM).

Provides functions for risk management and portfolio investment of securities with practical tools for data processing and plotting. Moreover, it contains functions which perform the COS Method, an option pricing method based on the Fourier-cosine series (Fang, F. (2008) <doi:10.1137/080718061>).

Wei Ling

RMOPI

Risk Management and Optimization for Portfolio Investment

Yang Liu

rTrade function

<dl><dt>time</dt>
<dd>time vector of time, must be a "Date" type variable</dd>
<dt>start</dt>
<dd>the start position</dd>
<dt>mu</dt>
<dd>the <code>mu</code> parameter of GBM</dd>
<dt>sigma</dt>
<dd>the <code>sigma</code> parameter of GBM</dd></dl>

Arguments

Simulate stock trade data — rTrade

<dl>

<dt>time</dt>
<dd>time vector of time, must be a "Date" type variable</dd>


<dt>start</dt>
<dd>the start position</dd>


<dt>mu</dt>
<dd>the <code>mu</code> parameter of GBM</dd>


<dt>sigma</dt>
<dd>the <code>sigma</code> parameter of GBM</dd>

</dl>

rTrade: Simulate stock trade data

Description

Usage

Value

Arguments

Examples