MATLAB FINANCIAL DERIVATIVES TOOLBOX Manuel d'utilisateur télécharger pdf (Page 101)

100

a function) named as “options_data.txt” in which the columns should contain

S, X, T, s, r, d. The data values are given below:

},,,,,,,,{S

120

115

110

105

100

}.,.,.,.{T

}.,.,.{s

and,

100

.d,.r,X

After creating the text file, you should have a 108-by-6 table since for each

value of T and s you have nine different possible values for S.

Note that the function:

• Should check if the correct number of input arguments is supplied

and display an error massage otherwise (to do so, use the build-in

function

n; see the help facilities for understanding its use).

• Set dividends equal to zero automatically if no dividend input is

supplied or if the dividend input argument is set to be an empty array

(use the build in function

t).

• In order to prevent an error, the function should check whether the

input parameters are all positive or non-negative (elaborate on the

BSM formula to see which inputs should be >=0 and which only >0; d

and especially r with negative values can exist but do not have any

economical implication).

• If “Index” takes a different value other than those explained before, an

error message should be returned and the program execution should

break. Additionally, an error should be returned and program

execution should stop if “Index” is a string matrix and not a string

vector (“Index” should be either 1-by-4 string vector in the case of a

'CALL' or a 1-by-3 in the case of a 'PUT').

1 2 ... 96 97 98 99 100 101 102 103 104 105 106 ... 118 119

Pas de commentaire

MATLAB FINANCIAL DERIVATIVES TOOLBOX Manuel d'utilisateur Page 101