R: Generate normally distributed scenarios

pp.normalScenarios {pprobeSup}

R Documentation

Generate normally distributed scenarios

Description

Takes prices, expected returns and a variance matrix – returns a three-dimensional array of scenarios.

Usage

pp.normalScenarios(prices, expected.return, variance, ntimes, 
	nscenarios)

Arguments

`prices`	named numeric vector of asset prices.
`expected.return`	numeric vector of expected returns (for each time step). If named, then these are selected and put into the same order as `prices`.
`variance`	variance matrix of the returns (for each time step). If this has `dimnames`, then the rows and columns are selected and put into the same order as `prices`.
`ntimes`	the number of time steps in the result. This must be at least 2.
`nscenarios`	the number of scenarios to produce.

Value

a ntimes by length(prices) by nscenarios array of prices where the first row in each slice is the input prices.

Side effects

The random seed is created or modified.

Testing status

In test suite, mildly tested.

Revision

This help file was last revised 2013 May 02.

Examples

# simple case
silly <- pp.normalScenarios(prices=c(A=34.57, B=92.12),
        expected.return=c(A=0, B=0), variance=diag(2) * .01, 
	ntimes=4, nscenarios=5)

# load data
require(pprobeData)

lessSilly <- pp.normalScenarios(prices=xassetPrices[500, 1:50],
        expected.return=rep(0,50), 
	variance=var(xassetLogReturns[1:250,1:50]),
        ntimes=63, nscenarios=100)

[Package pprobeSup version 1.00 Index]