www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreatesaBasketStockStructureforTwoStocksExample.m
%% Create a Basket Stock Structure for Two Stocks % Copyright 2015 The MathWorks, Inc. %% % Find a basket option of two stocks. The stocks are currently trading at % $60 and $55 with volatilities of 30% per annum. The basket option contains % 50% of each stock. The first stock provides a cash dividend of $0.25 on % May 1, 2009 and September 1, 2009. The second stock provides a continuous % dividend of 3%. The correlation between the assets is 40%. Use this data % to create the structure |BasketStockSpec|: AssetPrice = [60;55]; Sigma = [0.30;0.30]; % Create the Correlation matrix. Correlation matrices are symmetric and % have ones along the main diagonal. Correlation = [1 0.40;0.40 1]; % Define dividends NumInst = 2; DivType = cell(NumInst,1); DivType{1}='cash'; DivType{2}='continuous'; DivAmounts = cell(NumInst,1); DivAmounts{1} = [0.25 0.25]; DivAmounts{2} = 0.03; ExDates = cell(NumInst,1); ExDates{1} = {'May-1-2009' 'Sept-1-2009'}; Quantity = [0.5; 0.50]; BasketStockSpec = basketstockspec(Sigma, AssetPrice, Quantity, Correlation, ... 'DividendType', DivType, 'DividendAmounts', DivAmounts, 'ExDividendDates',ExDates) %% % Examine the |BasketStockSpec| structure. BasketStockSpec.DividendType