aux_simulate.scenarios function

Simulate a multivariate-normal scenario.set

aux_simulate.scenarios simulates a scenario.set given a mean vector and a covariance matrix using mvrnorm of the MASS package

aux_simulate.scenarios(mu, Sigma, n = 1000, seed = 280277)

Arguments

• mu: mean vector of asset returns
• Sigma: covariance matrix of asset returns
• n: number of scenarios to simulate (default 1000)
• seed: random number seed (default 280277)

Returns

A scenario set simulation with mean mu and covariance Sigma

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance