Using a Loop That Uses _n-1 obs.

Andrew Souphis

2019 5 21

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Hello, I am developing a code that will need to use forecast future prices using _n-1 observation. For example, I if I am forecasting the prices on day 33, my equation would use the price of day 32 in the equation. My current code is as follows:

S0=2809;
K=2750;
for j=1:252;
    for  c=1:1000
    S(c,j)=S0*exp((.0295-.5*(.2^2))*.004+.0295*sqrt(.004)*eps(c,j));
    end
end    

Right now I have every cell being priced with S0. My confusion is how do I keep one variable, S, and still reference, for column , S0, but for columns 2 through 252 I reference S_n-1.

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vidhathri bhat 2019-5-29

在 MATLAB Online 中打开

Are you using only (n-1)th observation? If so isn't it stored in S(c,j-1)?

S0=2809;
K=2750;
%for S(c,1)
for c=1:1000
        S(c,1)=S0*exp((.0295-.5*(.2^2))*.004+.0295*sqrt(.004)*eps(c,1));
end
for j=2:252;
    for c=1:1000
        S(c,j)=S(c,j-1)*exp((.0295-.5*(.2^2))*.004+.0295*sqrt(.004)*eps(c,j));
    end
end  