deltaparametri.m

来自「统计工具软件」· M 代码 · 共 39 行

function [dvar] = deltaparametri(delta,dev,cor,legame,valuta,cambi,vm)

%DELTAPARAMETRI	deltavar estimation changing the parameters.
%
%	[dvar] = deltaparametri(delta,dev,cor,legame,valuta,cambi,vm)
%   portfolio VaR with delta-normal methods, in the range of
%   probability (0.80 - 0.99) and holding period (2 - 40 days)
%
%	All data must be in column.
%
%	See DELTAVAR
%

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

for i=1:20
	for j=1:20
		dvar(i,j)=0;
	end
end
for i=1:20
	for j=1:20
		t=i*2;
		p=0.79+j/100;
		dvar(i,j)=deltavar(delta,dev,cor,legame,valuta,cambi,vm,t,p);
	end
end
t=2:2:40;
p=0.80:0.01:0.99;
surf(t,p,dvar)
title('Delta-normal VaR')
xlabel('holding period')
ylabel('probability')
zlabel('VaR')