ns=100;
face=10000;
val_date='06-14-2023';
mid_date= ['12-11-2023';'06-11-2024';'12-10-2024';'06-10-2025';'12-09-2025';'06-09-2026'];
strike=[0.9 0.85 0.8 0.8 0.8 0.75];
c_rate=[0.0375 0.075 0.1125 0.15 0.1875 0.225];
dummy=0.225;
ki=0.5;
ki_YesNo='No';
ref_S= [6576.8 4372];
S=[6148 4288];
r=0.075;
vol=[0.388 0.256];
rho=0.0395;
q=[0.01 0.01];
----------------------------------------------- 위에 데이터 넣고
function ELS_Price=StepDown_ELS_F(ns, face, val_date, mid_date, strike, c_rate, dummy, ki, ki_YesNo, ref_S, S, r, vol, rho, q)
temp_ch=datenum(mid_date)'-datenum(val_date);
mid_ch=temp_ch(find(temp_ch>=0));
c_rate=c_rate(find(temp_ch>=0));
strike=strike(find(temp_ch>=0));
N=mid_ch(end);
dt=1/365;
mid_size=length(mid_ch);
payment=zeros(ns,mid_size);
for i=1:ns
for j=1:mid_size
payment(i,j)=face*(1+c_rate(j));
end
end
corr=[1 rho;rho 1];
M=chol(corr);
SP1=zeros(ns,N+1);
SP1(:,1)=S(1);
SP2=zeros(ns,N+1);
SP2(:,1)=S(2);
for i=1:ns
w0=randn(N,2);
w=w0*M;
for j=2:N+1
SP1(i,j-1)*exp((r-q(1)-vol(1)^2/2)*dt+vol(1)*sqrt(dt)*w(j-1,1));
SP2(i,j-1)*exp((r-q(2)-vol(2)^2/2)*dt+vol(2)*sqrt(dt)*w(j-1,2));
end
end
R1=SP1/ref_S(1);
R2=SP2/ref_S(2);
WP=min(R1,R2);
strike_ch=WP(:,mid_ch+1);
payoff=zeros(ns,mid_size);
for i=1:ns
for j=1:mid_size
if strike_ch(i,j)>=strike(j)
payoff(i,j)=payment(i,j);
break
end
end
continue
end
for i=1:ns
if payoff(i,:)==0
switch ki_YesNo
case 'No'
ki_event=any(WP(i,:) < ki);
if ki_event==1
payoff(i,end)=face*WP(i,end);
else
payoff(i,end)=face*(1+dummy);
end
case 'Yes'
payoff(i,end)=face*WP(i,end);
otherwise
error('ki_YesNo = Yes or No');
end
end
end
exp_payoff=mean(payoff);
disc_payoff=zeros(1,mid_size);
for j=1:mid_size
disc_payoff(j)=exp_payoff(j)*exp(-r*mid_ch(j)/365);
end
ELS_Price=sum(disc_payoff);
------------------------------------------- 이 함수파일 불러와서
ELS_Price=StepDown_ELS_F(ns, face, val_date, mid_date, strike, c_rate, dummy, ki, ki_YesNo, ref_S, S, r, vol, rho, q)
얘로 함수 실행하는데 자꾸 답을 0만 뱉어내네 개빡치게;;;;
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