deltavar.m

来自「统计工具软件」· M 代码 · 共 89 行

function [dvar,dvarp] = deltavar(delta,dev,cor,legame,valuta,cambi,vm,t,p)

%DELTAVAR	delta-normal VaR.
%
%	[dvar,dvarp] = deltavar(delta,dev,cor,legame,valuta,cambi,vm,t,p)
%   VaR of a portfolio and the VaR for every risk factors with
%   delta-normal methods, given the vector vm of portfolio value, the
%   holding period t, and the probability p. Delta is the sensibility
%   vector, dev is the vector of standard deviations fo the risk facyors,
%   and cor is the variance-covarianze matrix.
%   The vector legame set the relations between assets and risk factors.
%   Given 2 risk factors and 4 assets the vector (1 1 1 2) means that the
%   first three assets are related with the first risk factors, the fourth
%   asset with the second risk factor. The vector valuta set the relation
%   between tha asset and the exchange rate in the same manner of the
%   vector legame, with the convention that 0 is for the referred exchange
%   rate.
%
%	All data must be in columns.
%
%	See MONTEVAR, SIMULVAR
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]

% VaR calculations for every risk factors, whitout excahnge rates ...

c = length(cambi);
n = length(legame);
m = length(dev);
f = m-c;
for i=1:m
	varp(i)=0;
end
for i=1:n
	valutac(i)=0;
end
for i=1:f
	cambif(i)=0;
end
for i=1:c
	cambic(i)=0;
end
for i=1:n 
	if valuta(i) == 0
		valutac(i)=1;
		cambif(legame(i))=1;
		else valutac(i)=cambi(valuta(i));
			cambif(legame(i))=cambi(valuta(i));
			cambic(valuta(i))=cambic(valuta(i))+vm(i);
	end
end
cambic=cambic'.*cambi;

% ... first in local currency ...

for i=1:n
	h=legame(i);
	varp(h)=varp(h)+vm(i)*delta(i);
end	

% ... than in the defined currency ...

for i=1:f
	varp(i)=varp(i)*cambif(i);
end
	
% ... add exchange rate risk ...

for i=f+1:m
	varp(i)=cambic(i-f);
end

% ... calculation of VaR fvor every risk factors ...

a=alfauna(p);
dvarp = varp'.*dev*a*sqrt(t);

% ... calculation of portfolio VaR

dvar = sqrt(dvarp'*cor*dvarp);