Poisson distribution - simulation

**shg** · 03-09-2010, 11:58 AM

Welcome to the forum.

You want a function that generates random variates with Poisson distribution?

**Hjahren** · 03-10-2010, 05:54 AM

I am trying to model a stock price simulation with jumps (jump diffusion process). I want the variable to show "1" if the jump occurs. The jump is poisson distributed and can occur more than once in my interval (250 days), I would like to have the ability to adjust the frequency (lambda) of the jumps.

**Hjahren** · 03-10-2010, 05:58 AM

yes, I want a function which generate variates with poisson distribution.

**shg** · 03-10-2010, 11:40 AM

Function RandPois(Lambda As Single, _
                  Optional bVolatile As Boolean = False) As Long
    ' shg 2007
    
    ' UDF or VBA

    ' Returns a random Poisson variate with variance Lambda
    ' Knuth, Seminumerical Algorithms, p 132

    Dim L           As Single
    Dim k           As Long
    Dim p           As Single

    If bVolatile Then Application.Volatile

    L = Exp(-Lambda)
    p = 1
    Do
        k = k + 1
        p = p * Rnd
    Loop Until p <= L

    RandPois = k - 1
End Function