SMFI5 (version 1.0)

sim.vasicek: Simulates the Ornstein-Uhlenbeck process.

Description

Simulates the Ornstein-Uhlenbeck process

dr = alpha(beta-r)dt + sigma dW.

Usage

sim.vasicek(alpha, beta, sigma, r0, n, h)

Arguments

alpha

Mean-reversion parameter.

beta

Long term mean.

sigma

Volatility parameter.

r0

Initial rate value.

n

Number of periods.

h

Time between observations.

Value

r

Simulated annual rate in percent.

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

r = sim.vasicek(0.5,2.55,0.365,2.55,360,1/360)