ntwk (version 1.0.0)

bm_compound_poisson_ghyp: Generates a (correlated) Brownian motion path with correlated but unsynchronised GHYP jumps.

Description

Generates a (correlated) Brownian motion path with correlated but unsynchronised GHYP jumps.

Usage

bm_compound_poisson_ghyp(n, sigma, ghyp_distr, n_jumps, delta_time)

Arguments

n

Length of the path

sigma

Correlation matrix for the Brownian part.

ghyp_distr

GHYP distribution (ghyp::ghyp).

n_jumps

Number of jumps.

delta_time

Time step.

Value

A BM path with Correlated Gaussian jumps

Examples

# NOT RUN {
n <- 1000
d <- 3
sigma <- matrix(c(1.0, 0.2, 0.2, 0.2, 1.0, 0.2, 0.2, 0.2, 1.0), 3, 3)
jump_sigma <- sigma
n_jumps <- 50
delta_time <- 0.5
ghyp_distr <- ghyp::ghyp(mu = rep(0, d))
bm_compound_poisson_ghyp(n, sigma, ghyp_distr, n_jumps, delta_time)
# }