? clear
num = 10000; %模拟次数
rho = [1 0. 7878:0. 7878 1]; %t-Copula 线性相关系数
NU = 4; %t-Copula 的自由度
T = copularnd (’ t’,rho, NU, num) ; %产生 t-Copula 随机数
r = 0.06; %必要报酬率
mean = 38000; %现金流入正态分布的均值
sigma = 100; %现金流入正态分布的标准差
a = 2000; %现金流出均匀分布的下界
b = 2800; %现金流出均匀分布的上界
%以下计算经营活动的折现值
for i = 1:num
cil = norwinv(T(i, l), mean, sigma);
col = a +(b~a)*T(i, 2);
、
cbl = cil — col;
suml = cbl/ (1 + r) 4;
ci2= norminv(T(i, 1),mean, sigma);
co2 = a +(b-a) *T(i,2);
cb2 = ci2 一 co2;
sum2 = cb2/(l + r)“ 5;
ci3= norminv(T(i, 1), mean, sigma);
co3= a +(b-a)*T(i, 2);
cb3 二 ci3 - co3;
sum3 = cb3/(1 + r)" 6;
ci4= norminv(T(i, 1),mean,sigma);
co4= a +(b-a)*T(i,2);
cb4 = ci4 一 co4;
sum4 = cb4/(l + r)‘ 7;
ci5= norminv(T(i, 1), mean,sigma);
co5= a +(b~a) *T(i, 2);
cb5 - ci5- co5;
sum5 = cb5/(1 + r)" 8;
ci6= norminv(T(i, 1),mean, sigma);
co6= a +(b-a) *T(i, 2);
cb6 = ci6- co6;
sum6 = cb6/(l + r)‘ 9;
ci7= norminv(T(i, 1),mean, sigma);
co7= a +(b-a)*T(i,2);
cb7 = ci7- co7;
sum7 = cb7/(l + r)‘ 10;
ci8= norminv(T(i, 1),mean, sigma);
co8= a +(b_a)*T(i,2);
cb8 = ci8- co8;
sum8 = cb8/ (1 + r广 11;
ci9 = norminv(T(i, 1),mean, sigma);
co9 = a +(b-a)*T(i, 2);
cb9 = ci9~ co9;
“
sum9 = cb9/(l + r)' 12;
cilO = norminv(T(i, 1),mean, sigma);
colO = a +(b-a)*T(i,2);
cblO = cilO - colO;
sumlO = cblO/(l + r)^ 13;
cill = norminv(T(i, 1),mean, sigma);
coll = a +(b~a)*T(i,2);
cbll = cill - coll;
sum11 = cbll/ (1 + r)‘ 14;
cil2= norminv(T(i, 1),mean, sigma);
col2 = a +(b-a)*T(i,2);
cbl2 = cil2- col2;
sum12 = cbl2/(l + r)'15;
ci13= norminv(T(i,1), mean, sigma);
col3= a +(b-a)*T(i, 2);
cbl3 = cil3- col3;
sum13 : cb!3/(l + r)‘ 16;
cil4= norminv(T(i, 1),mean, sigma);
col4= a +(b-a)*T(i, 2);
cbl4 = cil4- col4;
sum 14 = cbl4/(l + r) ‘ 17;
cil5= norminv(T(i, 1),mean, sigma);
col5= a +(b-a)*T(i, 2);
cbl5 = cil5- col5;
suml5 = cbl5/(l + r) “ 18 ;‘
cil6= norminv(T(i,1), mean,sigma);
col6= a +(b-a)*T(i,2);
cbl6 = cil6- col6;
suml6 = cbl6/(l + r) ‘ 19;
cil7= norminv(T(i, 1), mean, sigma);
col7= a +(b_a)*T(i,2);
cbl7 = cil7- col7;
sum17 : cbl7/(l + r)‘ 20;
cil8= norminv(T(i, 1), mean, sigma);
col8= a +(b—a)*T(i,2);
cbl8 = cil8- col8;
suml8 = cbl8/(l + r厂 21;
cil9 = norminv(T (i, 1),mean,sigma);
col9 = a +(b-a)*T(i,2);
cbl9 : cil9- col9;
suml9 = cbl9/ (1 + r)' 22;
ci20 = norminv(T(i, 1),mean, sigma);
co20 = a +(b-a)*T(i,2);
cb20 = ci20 - co20;
sum20 = cb20/(1 + r)‘ 23;
sum = suml + sum2 十 sum3 + sum4 + sum5 +...
sam6 + sum7 + sum8 + sum9 + sum10 + …
sum11 + suml2 + suml3 + suml4 + sum15 +...
sura16 + suml7 + suml8 + suml9 + sum20;
npv(i) = sum-339450; %计算净现值
end
npv_arrange = sort (npv) ; %对净现值排序
VaR = npv_arrange (num*0. 05) %5%所对应的分位数
VaR =
962.8361