MATLAB FINANCIAL DERIVATIVES TOOLBOX Manuel d'utilisateur télécharger pdf (Page 110)

109

21212121

)hx,hx(f)hx,hx(f)hx,hx(f)hx,hx(f

)x(f −+−+−−−−+++

≈

∂∂

∂

)x(f

∂∂

∂

≡

∂∂

∂

21212121

2222

)hxx(f)hxx(f)hxx(f)hxx(f

)x(f +−−−−++

≈

∂

where h is given from a rule of thumb (see [4] page 103),

1 ∈= )|,xmax(|h

Having in mind the above, write a script with the name: FunctionMin.m that

will do the following:

• Make the 3D – surface and the contour plots of the function:

)yxyyx(e)x,x(f

12424

++++=

in the area

.y,x

≤

−

. The function should be saved in an m-file

with the name:

n. Given that you have created the m-file with

the functional form of the function, to evaluate it at a point use the

build in function:

l. The calling syntax is:

“

l(@funToMin,x)”

where x is a two element row vector (or m-by-2 array) with “x(1)” and

“x(2)” to represent x

and x

respectively.

• Do a new figure that creates the contour plot of this function, with

the value of the contours to range between 0 and 80 (for example use:

“V=[0:0.25:2, 3:1:10, 20:10:80]”).

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MATLAB FINANCIAL DERIVATIVES TOOLBOX Manuel d'utilisateur Page 110

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