Code not looping - help please!

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% *function [A,Sigma_A]=AV(E,L,r,h,iter)*
%Función ASSET VALUES
%Outputs
%A= matriz de valores de activos por acción (Total de Activos/N° de Acciones)en
%cada momento t. 
%Sigma_A= volatilidad de la matriz A. 
%Inputs
%E= matriz de precio de mercado de las acciones de la firma.
%L= matriz de pasivos totales por acción en cada momento t.
%r= tasa de interés libre de riesgo (one year US T-bill).
%h= T-t. Maturity de los pasivos y horizonte sobre el que se calculará la probabilidad de default.
%iter= number of iterations.
A=(E+L);%initial values
Sigma_A=std(A);%initial values
i=1;
while i<iter  
    %Calculating standard deviation of natural log of the assets daily
    %return [ln(a_t/a_t-1)]
    [n,~]=size(A);
    J=zeros(n,1);
        for n=2:n
            J(n,1)=(A(n,1)/A(n-1,1));         
        end   
    J(1)=[];%first value is lost, needs to be eliminated before taking logs 
    JJ=log(J);
    Sigma_A=std(JJ)*sqrt(n-1);
    %Calculando d1 y d2 de la fórmula de Black&Scholes
    d1=(log(A./L)+(r+Sigma_A^2*0.5)*h)/(Sigma_A*sqrt(h));
    d2=d1-Sigma_A*sqrt(h);
    Nd1=normcdf(d1);
    Nd2=normcdf(d2);
    %Reexpresando la fórmula de valuación de un call sobre el Equity en
    %términos del valor de la firma (valor de los assets)
    A=(E+L.*(exp(-r*h)).*Nd2)./Nd1;
    i=i+1;
end

I am trying to iterate the Merton structural model in the assets equation, but every time I run the code, I get the very same vector for A and therefore same value for Sigma_A (volatility). Ideally I should get different vectors every time.. each one closer to the "real" values. It must be something I did wrong in the loop.

I would be very grateful if anyone could help me to find my mistake. I have read the documentation and several tutorials but made no advances.

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Floralis 2016-5-11

function [A,Sigma_A]=AV(E,L,r,h,iter)

Function Asset Value, gets vector of A(daily asset values) and Sigma_A(volatility of vector A).

Inputs are E (daily market price of shares/equity), L(total liabilities per share as in financial statements), r (US treasury 1 yr yield), h(time to maturity, set in 1 yr), iter (number of iterations of the loop). Variables are available in the attached file.

Adam 2016-5-11

编辑：Adam 2016-5-11

What exactly in your loop is supposed to be different each time round? You don't use 'i' in it anywhere so at a glance it looks like it will just do the same thing every time round the loop.

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Answer 1

Eustace Tan 2016-5-11

在 MATLAB Online 中打开

0 个投票

Uncomment these lines, and then it's just the matter of plugging in the variables.

% *function [A,Sigma_A]=AV(E,L,r,h,iter)*
%A= matriz de valores de activos por acción (Total de Activos/N° de Acciones)en
%cada momento t. 
%Sigma_A= volatilidad de la matriz A. 
%Inputs
%E= matriz de precio de mercado de las acciones de la firma.
%L= matriz de pasivos totales por acción en cada momento t.
%r= tasa de interés libre de riesgo (one year US T-bill).
%h= T-t. Maturity de los pasivos y horizonte sobre el que se calculará la probabilidad de default.
%iter= number of iterations.

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Floralis 2016-5-11

Hello Eustace, Comments are definitions of the variables, just wording. I wrote the code and I believe there must be an error somewhere else. Thanks for your answer.

Eustace Tan 2016-5-14

Okay, here's the thing, your code loops, it just doesn't update the values. That is to say, your loop does not change the inputs after each iteration. Get it?

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Code not looping - help please!

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