GBM Example Notebook

An example use in the Python Interface is:

[1]:

from pygbm import GBMSimulator
simulator = GBMSimulator(y0=1.0, mu=0.05, sigma=0.2)
t_values, y_values = simulator.simulate_path(T=1.0, N=100)
simulator.plot_path(t_values, y_values, output="gbm_plot.png")

../_images/notebooks_gbm_example_2_0.png

Can also implement in the command line:

[3]:

!pygbm simulate --y0 1.0 --mu 0.05 --sigma 0.2 --T 1.0 --N 100 --output gbm_plot.png

One can check usage of this by typing:

[4]:

!pygbm --help

usage: pygbm [-h] {simulate} ...

Simulate Geometric Brownian Motion

positional arguments:
  {simulate}
    simulate  Simulate a GBM path and plot it

options:
  -h, --help  show this help message and exit

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