Simple function and a small if problem, please try to help me

Question

Steve 2013-12-4

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/108637-simple-function-and-a-small-if-problem-please-try-to-help-me

评论： Image Analyst 2013-12-4

采纳的回答： Image Analyst

在 MATLAB Online 中打开

Hello Experts,

I have the following function where the user chooses the section and with the given parameters gets a graph.

What I can't understand is why the function doesn't enter to section 2 while section 1 works perfectly?

Here is the code:

function Q1(rho,K1,K2,section)
% SDE's of 2 shares:
% dS1 = S1*(r1dt + s1dW1) ; dS2 = S2*(r2dt + s2dW2)
% Check if rho is a column vector if not, transpose it:
if size(rho,2) > 1
    rho = transpose(rho);
end
% Given parameters:
r1 = 0.0001;
r2 = 0.0001;
s1 = 0.0001;
s2 = 0.0002;
% Number of simulations:
M = 100000;
% End of period is set to be t = 100 days
t = 100;
% Initial values S1(0) = S2(0) = 1:
S1_0 = 1;
S2_0 = 1;
% Generating independent normally distributed vectors, here
% concentrated at the end of the period where t = 100.
W2 = sqrt(t)*randn(M,1);
V = sqrt(t)*randn(M,1);
if section == 1
    ReasonablePrice = zeros(length(rho),1);
    PayoffStd = zeros(length(rho),1);
    PayoffError = zeros(length(rho),1);
elseif section == 2
    ProfitMean = zeros(length(rho),1);
    ProfitStd = zeros(length(rho),1);
    ProfitError = zeros(length(rho),1);
end
for j = 1:length(rho)
    % Making W1 and W2 dependent while W and V are independent,
    % cov(W1,W2) = rho(j)*Var(W2) + 0 = rho^2(j)*t.
    W1 = rho(j)*W2 + V;
    S1 = S1_0*exp((r1 - 0.5*s1^2)*t + s1*W1(:,1));
    S2 = S2_0*exp((r2 - 0.5*s2^2)*t + s2*W2(:,1));
      if section == 1
          % Payoff for all of M simulations using logical expression to find
          % where S2 > S1:
          Payoff = (S2-S1).*(S2 > S1);
          % Calculating the reasonable price: E[max(S2(100) - S1(100),0)]:
          ReasonablePrice(j,1) = mean(Payoff);
          PayoffStd(j,1) = std(Payoff);
          PayoffError(j,1) = PayoffStd(j,1)/sqrt(M);
      elseif section == 2
          Profit = max(S1 - K1,S2 - K2).*(S1 > K1).*(S1 - K2);
          ProfitMean(j) = mean(Profit);
          ProfitStd(j) = std(Profit);
          ProfitError(j) = ProfitStd(j)/sqrt(M);
      end
end
if section == 1
    figure(1);
    plot(rho,ReasonablePrice);
    xlabel('rho');
    ylabel('Price');
elseif section == 2
    ProfitMean = rho;
    plot(rho,ProfitMean);
    xlabel('rho');
    ylabel('ProfitMean');
end

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Image Analyst 2013-12-4

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/108637-simple-function-and-a-small-if-problem-please-try-to-help-me#answer_117272

What happens if you set a break point on the "if" line and inspect section's value when it stops there? http://blogs.mathworks.com/videos/2012/07/03/debugging-in-matlab/

2 个评论
显示无隐藏无

Steve 2013-12-4

Dear Image Analyst,

Just asked my self what are the values of the S1,S2 and saw they are around 1.01 ===> that's why the function gave me 0 when I ran it with K1 = 2,K2 = 3. Now all I need is to find the appropriate values to show a good graph.

Image Analyst 2013-12-4

Hopefully you used the debugger like I recommended, rather than just asking yourself, to reveal what the values were. So, is this solved? Or do you still have problems? If solved, please mark as Accepted to close it out.

请先登录，再进行评论。