?? simulparametri.m
字號(hào):
function [svar] = simulparametri(DR,RC,X,delta,valuta,legame,vm,tipo,rendimento)%SIMULPARAMETRI simulvar estimation changing the parameters.%% [svar] = simulparametri(DR,RC,X,delta,valuta,legame,vm,tipo,rendimento)% calculates historical simulation VaR whith changing probability (0.80 -% 0.99) and holding period (2 - 40 days).%% All data must be in columns.%% See SIMULVAR%% Copyright (c) 2004 by Flavio Bazzana% Department of Computer and Management Sciences% University of Trento% 38100 - Trento ITALY% flavio.bazzana@economia.unitn.itfor i=1:20 for j=1:20 t=i*2; p=0.79+j/100; svar(i,j)=simulvar(DR,RC,X,delta,valuta,legame,vm,t,p,tipo,rendimento); endendt=2:2:40;p=0.80:0.01:0.99;surf(t,p,svar)title('simul-VaR')xlabel('holding period (days)')ylabel('confidence level (probability)')zlabel('VaR')
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