Simulate G2++ short rates model

rg2plus(
  n = 10L,
  horizon = 5L,
  freq = "semi-annual",
  u = 1:30,
  txZC = c(0.01422, 0.01309, 0.0138, 0.01549, 0.01747, 0.0194, 0.02104, 0.02236, 0.02348,
    0.02446, 0.02535, 0.02614, 0.02679, 0.02727, 0.0276, 0.02779, 0.02787, 0.02786,
    0.02776, 0.02762, 0.02745, 0.02727, 0.02707, 0.02686, 0.02663, 0.0264, 0.02618,
    0.02597, 0.02578, 0.02563),
  a = 0.5,
  b = 0.3541203,
  sigma = 0.09416266,
  eta = 0.08439934,
  rho = -0.99855687,
  methodyc = c("fmm", "hyman", "HCSPL", "SW")
)

Arguments

n: Number of scenarios to simulate.
horizon: Time steps (semi-annual, default = 20).
freq: Frequency of simulation (default is "semi-annual").
u: Observed maturities (vector).
txZC: Yield to maturities (vector, same length as u).
a: G2++ mean reversion for factor x.
b: G2++ mean reversion for factor y.
sigma: Volatility of factor x.
eta: Volatility of factor y.
rho: Correlation between factors.
methodyc: Interpolation method for forward rates ("fmm", "hyman", "HCSPL", "SW").

Value

A time series of simulated short rates for each scenario.