Generate random SVJD scenarios with Feller-compliant parameters

Source: R/simulations_synthetic.R

Generate random SVJD scenarios with Feller-compliant parameters

generate_svjd(
  n_series = 100,
  horizon = 252,
  frequency = "daily",
  type_return = c("log", "basic"),
  seed = NULL
)

Arguments

n_series

Number of scenarios (default=1000).

horizon

Time steps per scenario (default=252).

type_return

Type of return: basic return ("basic") or log-return ("log")

seed

Random seed (optional).

freq

Frequency ("daily", "weekly", "monthly").

Value

List of scenarios (each with `log_returns`, `vol`, and `params`).