GBMSimulator package

GBMSimulator.GBMSimulator module

class Modules.Simulator.GBMSimulator

Bases: object

simulate(mu, n, T, M, y0, sigma)

Simulate geometric Brownian motion for given parameters.

Parameters:

• mu (int) – Drift coefficient.

• n (int) – Number of time steps.

• T (int) – Total time in years.

• M (int) – Number of simulation paths.

• y0 (int) – Initial value.

• sigma (int) – Volatility of the process.

Returns:

Simulated paths, with shape (n + 1, M).

Return type:

numpy.ndarray

Example:

>>> simulator = GBMSimulator()
>>> paths = simulator.simulate(mu=0.1, n=1000, T=1, M=10, y0=100, sigma=0.2)
>>> paths.shape
(1001, 10)

CLI Tool Documentation

Generate and plot Gemoetric Brownian motion paths

usage: __main__.py [-h] --mu MU --n N --T T --M M --y0 Y0 --sigma SIGMA

Named Arguments

--mu

Drift coefficient

--n

Number of time steps

--T

Total time duration

--M

Number of simulations

--y0

Initial value

--sigma

Volatility coefficient