Monte Carlo Simulation in C++ — monte

This function performs a Monte Carlo simulation for price movements using C++.

Usage

monte_carlo(seed_price, daily_vol, num_sims, num_days)

Arguments

seed_price: numeric. The starting price for the simulation.
daily_vol: numeric. The daily volatility of the price movements.
num_sims: integer. The number of simulation paths to generate.
num_days: integer. The number of days to simulate for each path.

Value

A list containing two data frames:

simulations: A data frame with columns 'close' (simulated prices) and 'simulation' (simulation index)
end_prices: A data frame with columns 'close' (final prices) and 'simulation' (simulation index)

Details

This function uses a geometric Brownian motion model to simulate price movements. For each simulation path, it generates daily returns using a normal distribution with mean 0 and standard deviation equal to the provided daily volatility. The function is implemented in C++ for improved performance, especially for large numbers of simulations or long time horizons.

Examples

if (FALSE) {
results <- monte_carlo(seed_price = 100, daily_vol = 0.02, num_sims = 1000, num_days = 30)
head(results$simulations)
head(results$end_prices)
}