monte carlo程序matlab,monte carlo（matlab）(教程,monte carlo程序matlab,编程语言)

%% Simulation de monte carlo d'un actif de rpix Spot 100, de volatilit�

% sigma, et de drift InterestRate.

% Vincent Leclercq, The MathWorks, 2007. [email protected]

clear all;

close all;

%% Starting parameters

tic;

nActifs = 2;

CorrelationMatrix = [1 0.9;0.9 1];

Vols = [0.5 0.9];

DivYelds = [0 0];

StartValues = [100 100];

ExpCovariance = corr2cov(Vols, CorrelationMatrix);

CholFactor    = chol(ExpCovariance);

InterestRate = 0.03;

TimeToMaturity = 0.5; % in years

NSimulation  = 10000;

nSteps = 20;

%% Time Step

Dt = TimeToMaturity/nSteps;

%% Generate Random numbers

UniforRandom            = rand  (nSteps , NSimulation, nActifs );

CorrelatedRandomNumbers = zeros (nSteps , NSimulation, nActifs );

RandomNumbers           = norminv(UniforRandom,0,1);

%% To Store the result

Paths = zeros (nSteps , NSimulation, nActifs);

%% Preserve Correlation for each realisation

for i = 1 : NSimulation

CorrelatedRandomNumbers (:,i,:) = squeeze(RandomNumbers(:,i,:)) * CholFactor;

end

%%

for i = 1 : nActifs

% Generate the dt returns

Paths(:,:,i) = exp( (InterestRate-DivYelds(i)-Vols(i)^2/2)*Dt + Vols(i)*sqrt(Dt).*  CorrelatedRandomNumbers (:,:,i));

Paths(:,:,i) = cumprod(Paths(:,:,i), 1);

Paths(:,:,i) = Paths(:,:,i) * StartValues(i);

%

end;

%% Compare for the first time step the Simualtions of the 2 assets

h1 = figure;plot(Paths(1,:,1),Paths(1, : ,2),'r.');

set(h1,'WindowStyle','Docked');

ylim(gca(h1),xlim);

h2 = figure;plot(1 : 20 ,[Paths(:,1 ,1),Paths(:,1 ,2)],'-');

set(h2,'WindowStyle','Docked');

Correlationcoeff = corrcoef(Paths(:,:,1),Paths(:,:,2))