金融MATLAB实验报告三.doc

安徽财经大学金融证券实验室实 验 报 告实验课程名称 金融MATLAB 开 课 系 部 金融学院 班 级 学 号 姓 名 指 导 教 师 2016年6月1日实验名称MATLAB基础知识学院 金融学院学号姓名实验准备实 验 目 的 学会使用MATLAB金融工具箱进行金融数量分析，如：期权定价分析、投资组合绩效分析、收益和风险的计算、有效前沿的计算、固定收益证券的久期和凸度计算、利率的期限结构、技术指标计算等。 实 验 设 计 方 案请使用MATLAB金融工具箱进行对以下6个主题进行数量分析，数据来源自行在网上搜寻，要求是2015年之后的数据。1.期权定价分析 （第10章）2.收益、风险和有效前沿的计算 （第12章）3.投资组合绩效分析 （第13章）4.固定收益证券的久期和凸度计算 （第17章）5.利率的期限结构 （第18章）6.技术指标分析 （第22章）实验分析过程1.期权定价分析 （第10章） 1.Black-scholes方程求解例：假设欧式股票期权，六个月后到期，执行价格92元，现价为102元，无股利支付，股价年化波动率为55%，无风险利率为10%，计算期权价格。代码：Price=102; Strike=92; Rate=0.1 Time=6/12; Volatility=0.55 Call, Put = blsprice(Price,Strike,Rate,Time,Volatility)结果：Call = 22.9551Put = 8.46822.期权价格与波动率关系分析代码：Price=102; Strike=92; Rate=0.1 Time=6/12; Volatility=0.1:0.01:0.55;N=length(Volatility) Call=zeros(1,N);Put=zeros(1,N);for i=1:NCall(i), Put(i)=blsprice(Price, Strike, Rate, Time, Volatility(i);endplot(Call,b-); hold onplot(Put,b);xlabel(Volatility) ylabel(price) legend(Call,Put)结果：3.计算期权的Dalta代码：Price=102; Strike=92; Rate=0.1 Time=6/12; Volatility=0.55;CallDelta, PutDelta = blsdelta(Price, Strike, Rate, Time, Volatility, Yield)结果：CallDelta = 0.7027PutDelta = -0.28524.利用不同的Price与Time计算Datla三维关系代码：Price=60:1:102;Strike=92;Rate=0.1； Time=(1:1:12)/12;Volatility=0.55;Price,Time=meshgrid(Price,Time);CallDelta, PutDelta = blsdelta(Price, Strike, Rate, Time, Volatility);mesh(Price,Time,PutDelta);xlabel(Stock Price);ylabel(Time(year);zlabel(Delta)结果：5 B-S公式隐含波动率计算例：假设欧式股票期权，一年后，执行价格99元，现价为105元，无股利支付，股价年化波动率为50%，无风险利率为10%，则期权价格为？代码：Price=105;Strike=99;Rate=0.1;Time=1; CallValue=15; CallVolatility = blsimpv(Price, Strike, Rate, Time, CallValue, , , , Call结果：CallVolatility =NaN代码：PutValue=7;PutVolatility = blsimpv(Price, Strike, Rate, Time, PutValue, , , , Put)结果：PutVolatility = 0.34556期权二叉树模型的计算例：假设欧式股票期权，三个月后到期，执行价格95元，现价为100元，无股利支付，股价年化波动率为60%，无风险利率为10%代码：Price=100;Strike=95;Rate=0.1;Time=3/12; flag=1;Increment=1/12;Volatility=0.6; AssetPrice, OptionValue = binprice(Price, Strike, Rate, Time, Increment, Volatility, flag)结果：AssetPrice = 100.0000 118.9110 141.3982 168.1381 0 84.0965 100.0000 118.9110 0 0 70.7222 84.0965 0 0 0 59.4749OptionValue = 16.3282 28.3714 47.1866 73.1381 0 5.4371 11.4020 23.9110 0 0 0 0 0 0 0 02.收益、风险和有效前沿的计算 （第12章）数据来源于网易财经，具体数据见附的Excel表将所收集的股票价格指数郑丽丽得到收益率均值，收益率标准差和协方差矩阵程序： A=xlsread(股票.xlsx) %导入数据，注意数据放在MATLAB的工作文件夹内R1=price2ret(A(:,1); %R1为华北制药的日收益率R2= price2ret (A(:,2); %R2为中国石化的日收益率R3= price2ret (A(:,3) %R3为上海机场的日收益率ExpReturn,ExpCovariance=ewstats(R1 R2 R2)std(R1),std(R2),std(R3)结果如下表：收益率均值收益率标准差协方差矩阵华北制药0.29740.03250.0011 0.0000 0.0000中国石化-0.13550.02330.0000 0.0005 0.0005上海机场-0.13550.02700.0000 0.0005 0.00051.收益率和风险计算函数假设等权重配置华北制药、中国石化、上海机场，计算资产组合的风险和收益。代码： ExpReturn=0.2974 -0.1355 -0.1355;ExpCovariance=0.0011,0.0000,0.0000;0.0000,0.0005,0.0005;0.0000,0.0005,0.0005;PortWts=1/3*ones(1,3);PortRisk,PortReturn=portstats(ExpReturn,ExpCovariance,PortWts)结果：PortRisk = 0.0186PortReturn =0.00882有效前沿计算函数（1）怎样配置华北制药、中国石化、上海机场，则资产组合为最优组合代码： ExpReturn=0.2974 -0.1355 -0.1355;ExpCovariance=0.0011,0.0000,0.0000;0.0000,0.0005,0.0005;0.0000,0.0005,0.0005;NumPorts=10;PortRisk,PortReturn,PortWts=frontcon(ExpReturn,ExpCovariance,NumPorts)结果：PortRisk = 0.0185 0.0188 0.0195 0.0207 0.0222 0.0240 0.0261 0.0283 0.0307 0.0332PortReturn = -0.0002 0.0328 0.0659 0.0990 0.1321 0.1651 0.1982 0.2313 0.2643 0.2974PortWts = 0.3125 0.6875 0 0.3889 0.6111 0 0.4653 0.5347 0 0.5417 0.4583 0 0.6181 0.3819 0 0.6944 0.3056 0 0.7708 0.2292 0 0.8472 0.1528 0 0.9236 0.0764 0 1.0000 0 0代码： frontcon(ExpReturn,ExpCovariance, NumPorts)结果：（2）如果各个资产投资上限为50%，求解有效前沿？代码：ExpReturn=0.2974 -0.1355 -0.1355;ExpCovariance=0.0011,0.0000,0.0000;0.0000,0.0005,0.0005;0.0000,0.0005,0.0005;NumPorts=10;AssetBounds=0,0,0;0.5,0.5,0.5;PortRisk, PortReturn, PortWts=frontcon(ExpReturn, ExpCovariance,NumPorts,AssetBounds)结果：PortRisk = 0.0185 0.0186 0.0186 0.0187 0.0188 0.0190 0.0192 0.0194 0.0197 0.0200PortReturn = -0.0002 0.0088 0.0178 0.0268 0.0359 0.0449 0.0539 0.0629 0.0719 0.0809PortWts = 0.3125 0.5000 0.1875 0.3333 0.5000 0.1667 0.3542 0.5000 0.1458 0.3750 0.5000 0.1250 0.3958 0.5000 0.1042 0.4167 0.5000 0.0833 0.4375 0.5000 0.0625 0.4583 0.5000 0.0417 0.4792 0.5000 0.0208 0.5000 0.2500 0.25003约束条件下有效前沿例配置华北制药、中国石化、上海机场三个资产，中央商场最大配置60%，国投安信最大配置70%，东兴证券最大配置50%，中央商场为资产集合A，国投安信、东兴证券组成资产计划B，集合A的最大配置为700%，集合B的最大配置为50%，集合A的配置不能超过集合B的3倍，则如何配置？代码： NumAssets=3;ExpReturn=0.2974 -0.1355 -0.1355;ExpCovariance=0.0011,0.0000,0.0000;0.0000,0.0005,0.0005;0.0000,0.0005,0.0005;NumPorts=5;PVal = 1;AssetMin = 0;AssetMax = 0.6,0.7,0.5;GroupA = 1 0 0;GroupB = 0 1 1;GroupMax = 0.7,0.5;AtoBmax = 3;ConSet = portcons(PortValue, PVal, NumAssets, AssetLims, AssetMin, AssetMax, NumAssets, GroupComparison,GroupA, NaN,AtoBmax, GroupB,GroupMax );PortRisk,PortReturn,PortWts=portopt(ExpReturn,ExpCovariance,NumPorts,ConSet)结果：PortRisk = 0.0185 0.0188 0.0194 0.0204 0.0218PortReturn = -0.0002 0.0309 0.0620 0.0931 0.1242PortWts = 0.3125 0.6875 0 0.3844 0.6156 0 0.4562 0.5438 0 0.5281 0.4719 00.6000 0.2000 0.2000代码：portopt(ExpReturn,ExpCovariance,NumPorts,ConSet)4.固定收益证券的久期和凸度计算 （第17章）下列数据来源于网易财经：固定收益证券到期收益率（%）票面利率（%）结算日到期日计息方式16附息国债092.432.5528-Apr-1628-Apr-19每年付息一次16附息国债103.322.95-May-165-May-26每年付息一次16附息国债122.492.5119-May-1619-May-18每年付息一次1. 债券的价格及计算日的利息计算（1）计算16附息国债09的价格和日利息计算代码：Yield=0.0243;Couponrate=0.0255;Settle=28-Apr-16;Maturity=28-Apr-19;Period=1;basis=0;price,accruedlnt=bndprice(Yield, Couponrate,Settle,Maturity,Period,basis)结果：price = 100.3009accruedlnt = 0（2）计算16附息国债10的价格和日利息计算代码：Yield=0.0332;Couponrate=0.0290;Settle=5-May-16;Maturity=5-May-26;Period=1;basis=0;price,accruedlnt=bndprice(Yield, Couponrate,Settle,Maturity,Period,basis)结果：price = 96.2491accruedlnt = 0（3）计算16附息国债12的价格和日利息计算代码：Yield=0.0249;Couponrate=0.0251;Settle=19-May-16;Maturity=19-May-18;Period=1;basis=0;price,accruedlnt=bndprice(Yield, Couponrate,Settle,Maturity,Period,basis)结果：price = 100.0087accruedlnt = 02. 根据债券的价格计算久期（1）计算16附息债券09久期代码：Price= 100.3009;Couponrate=0.0255;Settle=28-Apr-16;Maturity=28-Apr-19;Period=1;basis=0;ModDuration,YearDuration,PerDuration=bnddurp(Price,Couponrate,Settle,Maturity,Period,basis)结果：ModDuration = 2.8910YearDuration = 2.9261PerDuration =5.8523（2）计算16附息债券10久期代码：Price=96.2491;Couponrate=0.0290;Settle=5-May-16;Maturity=5-May-26;Period=1;basis=0;ModDuration,YearDuration,PerDuration=bnddurp(Price,Couponrate,Settle,Maturity,Period,basis)结果：ModDuration = 8.6516YearDuration = 8.7952PerDuration = 17.5904（3）计算16附息债券12久期代码：Price=100.0087;Couponrate=0.0251;Settle=19-May-16;Maturity=19-May-18;Period=1;basis=0;ModDuration,YearDuration,PerDuration=bnddurp(Price,Couponrate,Settle,Maturity,Period,basis)结果：ModDuration = 1.9512YearDuration = 1.9755PerDuration =3.951033根据债券收益率计算久期（1）根据16附息国债09的收益率计算久期代码：Yield=0.0243;Couponrate=0.0255;Settle=28-Apr-16;Maturity=28-Apr-19;Period=1;basis=0;ModDuration,YearDuration,PerDuration=bnddurp(Yield,Couponrate,Settle,Maturity,Period,basis)结果：ModDuration = 0.0986YearDuration = 1.0163PerDuration =2.0326（2）根据16附息国债10的收益率计算久期代码：Yield=0.0332;Couponrate=0.0290;Settle=5-May-16;Maturity=5-May-26;Period=1;basis=0;ModDuration,YearDuration,PerDuration=bnddurp(Yield,Couponrate,Settle,Maturity,Period,basis)结果：ModDuration = 0.1076YearDuration = 1.0114PerDuration = 2.0229（3）根据16附息国债12的收益率计算久期代码：Yield=0.0249;Couponrate=0.0251;Settle=19-May-16;Maturity=19-May-18;Period=1;basis=0;ModDuration,YearDuration,PerDuration=bnddurp(Yield,Couponrate,Settle,Maturity,Period,basis)结果：ModDuration = 0.1076YearDuration = 1.2363PerDuration = 2.47264根据价格计算凸度（1）根据价格计算16附息国债09的凸度代码： Price=100.3009;Couponrate=0.0255;Settle=28-Apr-16;Maturity=28-Apr-19;Period=1;basis=0;YearConvexity,PerConvexity=bndconvp(Price,Couponrate,Settle,Maturity,Period,basis)结果YearConvexity = 9.9013PerConvexity = 39.6054（2）根据价格计算16附息国债10的凸度代码：Price=96.2491;Couponrate=0.0290;Settle=5-May-16;Maturity=5-May-26;Period=1;basis=0;YearConvexity,PerConvexity=bndconvp(Price,Couponrate,Settle,Maturity,Period,basis)结果：YearConvexity = 85.2674PerConvexity = 341.0698（3）根据价格计算16附息国债12的凸度代码：Price=100.0087;Couponrate=0.0251;Settle=19-May-16;Maturity=19-May-18;