커뮤니티
수식 문의
2013-01-16 14:10:52
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글번호 58194
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답변 1
예스스탁 예스스탁 답변
2013-01-16 13:58:22
안녕하세요
예스스탁입니다.
Input: nn(3.5),d2콜풋구분(1),d2행사가격(247.5),만기일(20130209),CD금리(3.56);
var : vol(0),j(0),T(0),R(0),Delta(0);
var : Price1(0),Price2(0),Price3(0),Price4(0),Price5(0),x1(0),x2(0),x3(0),x4(0),x5(0);
T = (DateToJulian(만기일) - DateToJulian(Date) + 1)/365;
r = CD금리 / 100;
Var1 = 0;
Var2 = 0;
For j = 0 To 59
{
Var1 = Var1 + Log(DayClose(j)/DayClose(j+1))^2;
Var2 = Var2 + Log(DayClose(j)/DayClose(j+1));
}
vol = Sqrt((60 * Var1 - Var2^2)/3540)*Sqrt(244); //역사적변동성
Delta = _Delta(1,data7(c),d2행사가격,T,R,vol);
if data2(C) > data3(c) Then
price1 = data2(c)-abs(data2(c)-data3(c))/2;
Else
price1 = data2(c)+abs(data2(c)-data3(c))/2;
if data2(C) > data4(c) Then
price2 = data2(c)-abs(data2(c)-data4(c))/2;
Else
price2 = data2(c)+abs(data2(c)-data4(c))/2;
if data2(C) > data5(c) Then
price3 = data2(c)-abs(data2(c)-data5(c))/2;
Else
price3 = data2(c)+abs(data2(c)-data5(c))/2;
if data2(C) > data6(c) Then
price4 = data2(c)-abs(data2(c)-data6(c))/2;
Else
price4 = data2(c)+abs(data2(c)-data6(c))/2;
if data2(C) > nn Then
price5 = data2(c)-abs(data2(c)-nn)/2;
Else
price5 = data2(c)+abs(data2(c)-nn)/2;
X1 = Price1/Delta;
X2 = Price2/Delta;
X3 = Price3/Delta;
X4 = Price4/Delta;
X5 = Price5/Delta;
plot1(data7(c)+x1+(data1(c)-data7(c)));
plot2(data7(c)+x2+(data1(c)-data7(c)));
plot3(data7(c)+x3+(data1(c)-data7(c)));
plot4(data7(c)+x4+(data1(c)-data7(c)));
plot5(data7(c)+x5+(data1(c)-data7(c)));
즐거운 하루되세요
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> please check attaschment.
always thank you.