www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreatesaBasketStockStructureforThreeStocksExample.m
%% Create a Basket Stock Structure for Three Stocks % Copyright 2015 The MathWorks, Inc. %% % Find a basket option of three stocks. The stocks are currently trading % at $56, $92 and $125 with annual volatilities of 20%, 12% and 15%, respectively. % The basket option contains 25% of the first stock, 40% of the second stock, % and 35% of the third. The first stock provides a continuous dividend of % 1%, while the other two provide no dividends. The correlation between % the first and second asset is 30%, between the second and third asset % 11%, and between the first and third asset 16%. Use this data to create % the |BasketStockSpec| structure: AssetPrice = [56;92;125]; Sigma = [0.20;0.12;0.15]; % Create the Correlation matrix. Correlation matrices are symmetric and % have ones along the main diagonal. NumInst = 3; Corr = zeros(NumInst,1); Corr(1,2) = .30; Corr(2,3) = .11; Corr(1,3) = .16; Corr = triu(Corr,1) + tril(Corr',-1) + diag(ones(NumInst,1), 0); % Define dividends DivType = cell(NumInst,1); DivType{1}='continuous'; DivAmounts = cell(NumInst,1); DivAmounts{1} = 0.01; Quantity = [0.25; 0.40; 0.35]; BasketStockSpec = basketstockspec(Sigma, AssetPrice, Quantity, Corr, ... 'DividendType', DivType, 'DividendAmounts', DivAmounts) %% % Examine the |BasketStockSpec| structure. BasketStockSpec.Correlation