[R-SIG-Finance] Simulating inhomogeneous Poisson process without loop

[Krishna]

A reproducible example would help, have you tried FOREACH



On Jul 3, 2011, at 7:53 AM, Tristan Linke <tristan.linke at gmail.com>  
wrote:

> Dear all
>
> I want to simulate a stochastic jump variance process in which N is
> Bernoulli (Poisson approximation) with intensity lambda0 + lambda1*Vt.
> lambda0 is constant and lambda1 can be interpreted as a regression
> coefficient on the current variance level Vt. J is the scaling factor
>
> How can I rewrite this avoiding the loop structure which is very
> time-consuming for long simulations?
>
> for (i in 1:N){
> ...
> N <- rbinom(n=1, size=1, prob=(lambda0+lambda1*Vt))
> Vt <- ... + J*N
> ..
> }
>
> P.S. This is going towards the Duffie, Pan, Singleton 2000 Transform  
> Pricing
> paper, here stochastic volatility with state-dependent correlated  
> jumps
> (Eraker 2004).
>
> Thanks a lot in advance.
>
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>
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