Simulation with SDE object

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Sam
Sam 2011-2-22
I have a 12 month horizon for 3 variables that I m trying to simulate. Here is what my code looks like, can you help fix the F and G function defintions
S = [ 1.2; 1.3; 1.5];
meanpath = [ 0 0.03 0.07 0.10 0.14 0.17 0.20 0.23 0.26 0.29 0.32 0.35; 0 0 0 0 0 0 0 0 0 0 0 0; 0 0 0 0 0 0 0 0 0 0 0 0];
vol = [0.14 ; 0.10 ; 0.12];
corr = [1 0.25 0.25; 0.25 1 0.25; 0.25 0.25 1];
F = @(t,X) diag(X) * meanpath(:,t+1); G = @(t,X) diag(X) * diag(sigma);
SDE = sde(F, G, 'Correlation', corr, 'StartState', S)
nPeriods = size(meanpath,2) NTrials = 10000; NSteps = 12; [siml_results,T] = SDE.simulate(nPeriods,'NTrials',NTrials, 'DeltaTime', dt);
Theres obviously something wrong with F and G but I cant figure out whats wrong here

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回答（2 个）

Sam
Sam 2011-2-23
Essentially I m trying to simulate values around a given discrete mean path across 12 months.
Maybe theres a better way to do it. Any ideas ?
Peter Koetzing
Peter Koetzing 2013-3-22
I second this request! The Econometrics Toolbox is poorly documented and it's a pitty that no one offers help ...

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