monte carlo程序matlab,monte carlo（matlab）

%% Simulation de monte carlo d'un actif de rpix Spot 100, de volatilit�

% sigma, et de drift InterestRate.

% Vincent Leclercq, The MathWorks, 2007. vincent.leclercq@mathworks.fr

clear all;

close all;

%% Starting parameters

tic;

nActifs = 2;

CorrelationMatrix = [1 0.9;0.9 1];

Vols = [0.5 0.9];

DivYelds = [0 0];

StartValues = [100 100];

ExpCovariance = corr2cov(Vols, CorrelationMatrix);

CholFactor    = chol(ExpCovariance);

InterestRate = 0.03;

TimeToMaturity = 0.5; % in years

NSimulation  = 10000;

nSteps = 20;

%% Time Step

Dt = TimeToMaturity/nSteps;

%% Generate Random numbers

UniforRandom            = rand  (nSteps , NSimulation, nActifs );

CorrelatedRandomNumbers = zeros (nSteps , NSimul