Simulate SVJD model (with Feller condition check) with G2++ short rates model

Source: R/rsvjdg2plus.R

Simulate SVJD model (with Feller condition check) with G2++ short rates model

rsvjdg2plus(
  n = 10,
  horizon = 5,
  freq = "quarterly",
  S0 = 100,
  rho_stock_vol = -0.7,
  rho_g2plus = -0.99855687,
  ...
)

Arguments

n

Number of simulations.

horizon

Time steps (e.g., 252 for daily data).

freq

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

S0

Initial stock price (default=100).

rho_stock_vol

Correlation stock price / stochastic volatility

rho_g2plus

Correlation between G2++ factors

...

Additional parameters to be passed to rsvjd and rg2plus