simuldati.m

来自「计算VaR的」· M 代码 · 共 30 行

function [svar] = simuldati(DR,RC,X,delta,valuta,legame,vm,t,p,tipo,rendimento)

%SIMULDATI	simulvar estimation changing the numbers of data.
%
%	[svar] = simuldati(DR,RC,X,delta,valuta,legame,vm,t,p,tipo,rendimento) 
%   calculates historical simulation VaR reducing the number of data to the
%   minimum of 150.
%
%	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
%   [e-mail]

n = size(X,1);

for i=1:n-150
	svar(i)=simulvar(DR,RC(i:n,:),X(i:n,:),delta,valuta,legame,vm,t,p,tipo,rendimento);
end
d=1:n-150;
plot(d,svar,'b')
title('Historical simulation VaR')
xlabel('number of days eliminated')
ylabel('VaR')