rStock

Direct stock generation. Object creation is managed internally.

rStock(horizon, nScenarios, ZC, vol, k, volStock, stock0,
    rho)

Arguments

horizon

Horizon of projection

nScenarios

Number of scenarios

ZC

ZC rate input

vol

Volatility for short rates

k

k for rates in vasicek model

volStock

Volatility

stock0

Initial value for stock

rho

Correlation between stock and short rates

Examples

data(ZC)
rStock(horizon=10, nScenarios=7, ZC=ZC, vol=.1, k=2, volStock=.2, stock0=100, rho=.5)
#> $shortRatePaths
#>           [,1]        [,2]         [,3]        [,4]         [,5]        [,6]
#> [1,] 0.0034327  0.01118101  0.033065795 -0.01742205 -0.129256532 0.013883482
#> [2,] 0.0034327 -0.02028390 -0.029121897 -0.03067472  0.004150979 0.099091318
#> [3,] 0.0034327  0.01477612  0.024974916  0.01527428  0.056433765 0.005821848
#> [4,] 0.0034327 -0.04483987  0.003830362  0.02134560  0.048646998 0.061499750
#> [5,] 0.0034327  0.07292285  0.046595073  0.06503089 -0.016039922 0.009227320
#> [6,] 0.0034327 -0.02632016  0.045077459  0.12689447  0.029625359 0.034931195
#> [7,] 0.0034327 -0.08807525  0.036775987  0.09257228 -0.008505476 0.019476252
#>              [,7]       [,8]         [,9]      [,10]         [,11]
#> [1,] -0.002386706 0.03192295 -0.002108607 0.11538904  0.0153306987
#> [2,]  0.028178727 0.14026193  0.081078055 0.04418327  0.0604386198
#> [3,]  0.025703293 0.10898777  0.067734705 0.02330582  0.0332560235
#> [4,]  0.029993250 0.03087799 -0.014345279 0.03619907 -0.0008535516
#> [5,]  0.015645338 0.05881913 -0.005026016 0.05559955  0.0509287443
#> [6,]  0.030611063 0.06296998  0.071678713 0.05235716  0.0458428270
#> [7,] -0.022356588 0.08698115  0.065368166 0.02924489  0.1377554028
#> 
#> $stockPaths
#>      [,1]      [,2]      [,3]      [,4]      [,5]     [,6]      [,7]      [,8]
#> [1,]  100  95.52143  96.51012 101.13151  68.06442  48.4552  40.18166  37.90385
#> [2,]  100  85.61554  91.09320  85.62607  96.47643 113.3354  93.54970 109.26449
#> [3,]  100  99.96265 163.73650 149.18760 151.58395 142.3641  86.54422 109.72584
#> [4,]  100  99.92415  84.08084  68.45753  77.26600 106.4702 127.09746 138.05974
#> [5,]  100 114.04311 118.45223 166.81620 105.56562 113.4155 106.89914 120.56832
#> [6,]  100 107.95072  98.35056 139.07164 151.00893 145.4699 143.14834 117.40364
#> [7,]  100  69.91519  85.97719 108.37907  99.70691 129.9145  94.92117 130.73240
#>           [,9]     [,10]     [,11]
#> [1,]  45.17079  66.87354  68.80474
#> [2,] 129.92009 144.06620 159.66081
#> [3,] 157.14778 156.00965 165.70449
#> [4,] 105.55221 102.88972  80.41654
#> [5,]  78.58194  57.61536  68.43883
#> [6,] 107.49090 111.97953 107.16144
#> [7,] 153.71644 145.73388 225.42734
#>