Simple Solver-type function
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I am new to MATLAB and was wondering if someone could help me with a simple function. The idea is as follows:
I have two equations:
r_u = r0 + theta*delta + sigma*sqrt(delta)
r_d = r0 + theta*delta - sigma*sqrt(delta)
I need to find theta such that the above equations are satisfied as well as the equation below:
P = exp(-r0*delta)[0.5*exp(-r_u*delta) + 0.5*exp(-r_d*delta)]*100.
r0, delta, sigma and P are known. I need the function to calculate theta, r_u and r_d such that the above equations are true. I can do it in Excel using Solver but MATLAB is new to me and I would really appreciate any help I can get.
采纳的回答
Matt Tearle
2011-5-16
If you have Optimization Toolbox, you can use fsolve. Rewrite the three equations in the form F(x) = 0, where x is a vector of your three unknowns.
% set values
r0 = rand;
delta = rand;
sigma = rand;
P = rand;
% make function
f = @(x) [r0 + x(3)*delta + sigma*sqrt(delta) - x(1);
r0 + x(3)*delta - sigma*sqrt(delta) - x(2);
exp(-r0*delta)*(0.5*exp(-x(1)*delta) + 0.5*exp(-x(2)*delta))*100 - P];
% initial guess
x0 = rand(3,1);
% find solution
x0 = fsolve(f,x0)
Here, x(1) is r_u, x(2) is r_d, x(3) is theta.
EDIT TO ADD Having looked more closely at the math, I realized that you don't even need fsolve. The problem can be reduced to a single equation in one variable (theta):
% set values
r0 = rand;
delta = rand;
sigma = rand;
P = rand;
% make functions
r_u = @(theta) r0 + theta*delta + sigma*sqrt(delta);
r_d = @(theta) r0 + theta*delta - sigma*sqrt(delta);
f = @(theta) exp(-r0*delta)*(0.5*exp(-r_u(theta)*delta) + 0.5*exp(-r_u(theta)*delta))*100 - P;
% initial guess
theta0 = rand;
% find solution
theta0 = fzero(f,theta0)
r_u(theta0)
r_d(theta0)
2 个评论
Julia
2011-5-16
Matt Tearle
2011-5-16
Wait until you see what happens when I actually think for a moment. See the above edit...
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