Simulate Zero-Coupon Bond Prices using G2++ Model

rpriceg2plus(
  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,
  maturities = c(5, 7, 10),
  start_ = c(2000, 1),
  seed = NULL,
  ...
)

Arguments

n: Number of scenarios to simulate.
horizon: Time steps for simulation (e.g., 5 for 5 years).
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.
maturities: Bond maturity times.
start_: Starting time for ts object.
seed: Random seed for reproducibility.
...: Additional parameters to be passed to simdiff or simshocks

Value

A time series of simulated bond prices for each scenario.