deltamedia.m

来自「计算VaR的」· M 代码 · 共 52 行

function [dvar,media] = deltamedia(X,RF,RC,legame,valuta,vm,t,p,rendimento,dati,giorni,lambda,datidelta)

%DELTAMEDIA	average of delta-normal VaR.
%
%	[dvar,media] = deltamedia(X,RF,RC,legame,valuta,vm,t,p,rendimento,dati,giorni,lambda,datidelta)
%   average VaR in the past days with delta-normal metodh
%   using n data. Lambda is the ponderation coefficient.
%	Lambda is the weight in EWMA volatility forecast.
%   If Datidelta = 0 the mapping procedure is calculated over all X,
%   = 1 only with defined data.
%
%	All data mus 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]

n=size(X,1);
m=length(valuta);
[DX,DR,cambi,fattori,prezzi] = rendimenti(X,RF,RC,rendimento);
[deltax,dev,cor,C] = semplicecorr(DX,DR,legame);

for i=1:giorni

% VaR interval

	X1=X(n-dati-i:n-i,:);
	RF1=RF(n-dati-i:n-i,:);
	RC1=RC(n-dati-i:n-i,:);
	
% calculation of deltavar over such interval
	
	[DX,DR,cambi,fattori,prezzi] = rendimenti(X1,RF1,RC1,rendimento);
	if lambda==1
		[delta,dev,cor,C] = semplicecorr(DX,DR,legame);
		else [delta,dev,cor,C] = ewmacorr(DX,DR,legame,lambda);
	end
	if datidelta==1
		[dvar(i),dvarp] = deltavar(delta,dev,cor,legame,valuta,cambi,vm,t,p);
		else [dvar(i),dvarp] = deltavar(deltax,dev,cor,legame,valuta,cambi,vm,t,p);
	end
end

% average calculation

media=mean(dvar);