[問題] 請問為什麼跑的那麼快?已回收
clear; clc;
Nsteps=120;
T=120;
Nrep=1000;
s4=0.00851;%台灣短率波動率
CS4=0.0125;%台灣短率
dt=T/Nsteps;
a4=0.040113;%台灣
b4=0.014779;
e1=randn(Nrep,Nsteps);
for i=1:Nrep
r4(i,1)=CS4;
end
for i=1:Nrep
for j=1:Nsteps
r4(i,j+1)=r4(i,j)+a4.*(b4-r4(i,j))+s4.*sqrt(r4(i,j)).*e1(i,j);
end
end
gamma4=sqrt(a4^2+2.*s4^2);
B42=2.*(exp(gamma4.*2)-1)./(2.*gamma4+(gamma4+a4).*(exp(gamma4.*2)-1));%two
year yield curve
A42=((2.*gamma4.*(exp((a4+gamma4).*2./2)))./(((gamma4+a4).*(exp(gamma4.*2)-1))+2.*gamma4)).^(2.*a4.*b4./(s4.^2));%two
year yield curve
r42=((r4.*B42)-log(A42))./2%two year yield curve
我一開始跑r4時跑好久好久
但後來跑r42一下子就出來了
可是r42需要用到r4啊
為什麼會這樣呢?
感覺怪怪的
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 140.112.230.16
推
03/06 23:21, , 1F
03/06 23:21, 1F
→
03/06 23:21, , 2F
03/06 23:21, 2F