请教：R程序下怎样用蒙特卡洛模拟股市大盘指数，望高人指教

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请教：R程序下怎样用蒙特卡洛模拟股市大盘指数，望高人指教

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关键词：蒙特卡洛模拟 股市大盘 蒙特卡洛 大盘指数 蒙特卡 蒙特卡洛 股市大盘 程序

顶起来

底下程序取自matlab,
楼主有R基础,应该很容易转换.
Numerical methods in finance And Economics :
               A Matlab-based introduction
AssetPaths.m

% usage: SPaths = AssetPath(S0,mu,sigma,T,NSteps,NReps)
% description: returns NReps rows whose entries are a random path
% for asset with drift mu, volatility sigma and initial price S0,
% starting at t=0 ending with t=T in steps of dt = T/NSteps.


S0=50;      %initial price S0
mu=0.04;    %drift mu
sigma=0.3;  % volatility sigma
T=1;        %1 year
NSteps=252;
NReps=1000;

% usage: SPaths = AssetPath(S0,mu,sigma,T,NSteps,NReps)
% description: returns NReps rows whose entries are a random path
% for asset with drift mu, volatility sigma and initial price S0,
% starting at t=0 ending with t=T in steps of dt = T/NSteps.
SPaths = zeros(NReps,NSteps+1);
SPaths(:,1) = S0;
dt = T/NSteps;
nudt = (mu-0.5*sigma^2)*dt;
sidt = sigma*sqrt(dt);
for i = 1:NReps
  for j = 1:NSteps
    SPaths(i,j+1) = SPaths(i,j)*exp(nudt + sidt*randn);
  end
end

估计要看一些统计计算方面的书，推荐《Introduction to Probability Simulation and Gibbs Sampling with R》，你可以搜搜相关的毕业论文，《统计模拟及其R实现》也可以作参考。

epoh老师，您好！
Error: Missing MATLAB operator.这个错误是什么意思？如何更正？
>> % usage: SPaths = AssetPath(S0,mu,sigma,T,NSteps,NReps)
% description: returns NReps rows whose entries are a random path
% for asset with drift mu, volatility sigma and initial price S0,
% starting at t=0 ending with t=T in steps of dt = T/NSteps.
S0=50;      %initial price S0
mu=0.04;    %drift mu
sigma=0.3;  % volatility sigma
T=1;        %1 year
NSteps=252;
NReps=1000;
% usage: SPaths = AssetPath(S0,mu,sigma,T,NSteps,NReps)
% description: returns NReps rows whose entries are a random path
% for asset with drift mu, volatility sigma and initial price S0,
% starting at t=0 ending with t=T in steps of dt = T/NSteps.
SPaths = zeros(NReps,NSteps+1);
SPaths(:,1) = S0;
dt = T/NSteps;
nudt = (mu-0.5*sigma^2)*dt;
sidt = sigma*sqrt(dt);
for i = 1:NReps
  for j = 1:NSteps
    SPaths(i,j+1) = SPaths(i,j)*exp(nudt + sidt*randn);
  end
end

>>
以上程序可以行动，我想问一下：如何把模拟出的结果做出路径趋势图呢？这样看起来更直观。

我曾经看过您写的brown motion的R模拟程序，您并做出了图，非常直观。

zhangtao 发表于 2011-12-16 09:07
epoh老师，您好！
Error: Missing MATLAB operator.这个错误是什么意思？如何更正？
>> % usage: SPaths  ...

zhangtao兄说的可是底下
股票价格模拟路径图.
  

epoh老师，您好，我没有把上述程序成功转换为R软件程序，不知epoh老师能否再来个R软件程序的啊，谢谢

epoh老师，求R程序！

yuan9913_cn 发表于 2011-12-16 11:09
epoh老师，您好，我没有把上述程序成功转换为R软件程序，不知epoh老师能否再来个R软件程序的啊，谢谢

########R code
S0=50;        #initial price S0
mu=0.04;     #drift mu
sigma=0.3;   # volatility sigma
T=1;           #1 year
NSteps=252;
NReps=10;
SPaths = matrix(NA,NReps,NSteps+1);
SPaths[,1] = S0;
dt = T/NSteps
nudt = (mu-0.5*sigma^2)*dt
sidt = sigma*sqrt(dt)
for (i in 1:NReps){
  for (j in 1:NSteps){
    SPaths[i,j+1] = SPaths[i,j]*exp(nudt + sidt*rnorm(1))
  }
}
SPaths

epoh 发表于 2011-12-16 10:01
zhangtao兄说的可是底下
股票价格模拟路径图.

对，就是这样的图，epoh老师，这样的图在R和matlab中如何做呢？