金融MATLAB實(shí)驗報告三

1、安徽財經(jīng)大學(xué)金融證券實(shí)驗室實(shí) 驗 報 告實(shí)驗課程名稱 金融MATLAB 開 課 系 部 金融學(xué)院 班 級 學(xué) 號 姓 名 指 導(dǎo) 教 師 2015年*月*日實(shí)驗名稱MATLAB金融數(shù)量分析學(xué)院 學(xué)號姓名實(shí)驗準(zhǔn)備實(shí) 驗 目 的Ø 學(xué)會使用MATLAB金融工具箱進(jìn)行金融數(shù)量分析，如：期權(quán)定價分析、投資組合績效分析、收益和風(fēng)險的計算、有效前沿的計算、固定收益證券的久期和凸度計算、利率的期限結(jié)構(gòu)、技術(shù)指標(biāo)計算等。 實(shí) 驗 設(shè) 計 方 案使用MATLAB金融工具箱對下述6個主題進(jìn)行數(shù)量分析，數(shù)據(jù)來源自行在網(wǎng)上搜尋，要求是2014年之后的數(shù)據(jù)。（可參照各章的例題）1.期權(quán)定價分析 （第10章）2

2、.收益、風(fēng)險和有效前沿的計算 （第12章）3.投資組合績效分析 （第13章）4.固定收益證券的久期和凸度計算 （第17章）5.利率的期限結(jié)構(gòu) （第18章）6.技術(shù)指標(biāo)分析 （第22章）本實(shí)驗報告不指定具體的題目，請大家自行設(shè)定，同學(xué)相互之間不要出現(xiàn)雷同。實(shí)驗分析過程一、收益、風(fēng)險和有效前沿的計算 從Wind咨詢金融終端分別下載三只股票（美好集團(tuán)、石油化服和首開股份）從2013年年初至今的日收盤價價格，經(jīng)過相關(guān)處理得出三只股票的收益率均值、標(biāo)準(zhǔn)差以及協(xié)方差矩陣等數(shù)據(jù)，如下表。現(xiàn)根據(jù)表格數(shù)據(jù)進(jìn)行關(guān)于收益、風(fēng)險和有效前沿計算。1. 收益率和風(fēng)險計算函數(shù)例1.假設(shè)等權(quán)重配置美好集團(tuán)、石油化服、首開股份

3、，計算資產(chǎn)組合的風(fēng)險和收益。解：> >> ExpReturn=0.0018,0.0016,0.0006;ExpCovariiance=0.0010,0.0004,0.0005;0.0004,0.0017,0.0003;0.0005,0.0003,0.0013;PortWts=1/3*ones(1,3);PortRisk, PortReturn = portstats(ExpReturn, ExpCovariance,PortWts)PortRisk = 0.0170PortReturn = 0.00132.有效前沿計算函數(shù)例2.（1）怎樣配置美好集團(tuán)、石油化服和首開股份，則資

4、產(chǎn)組合為最優(yōu)組合？解：>> ExpReturn=0.0018,0.0016,0.0006;>> ExpCovariiance=0.0010,0.0004,0.0005;0.0004,0.0017,0.0003;0.0005,0.0003,0.0013;>> NumPorts=10;>> PortRisk, PortReturn, PortWts = frontcon(ExpReturn,ExpCovariance, NumPorts)PortRisk = 0.0137 0.0139 0.0144 0.0151 0.0158 0.0166 0.01

5、75 0.0184 0.0194 0.0229PortReturn = 0.0006 0.0008 0.0009 0.0010 0.0012 0.0013 0.0014 0.0015 0.0017 0.0018PortWts = 0 0.0439 0.9561 0 0.1724 0.8276 0.0275 0.2678 0.7047 0.1032 0.3054 0.5914 0.1789 0.3430 0.4781 0.2546 0.3806 0.3647 0.3303 0.4183 0.2514 0.4060 0.4559 0.1381 0.4817 0.4935 0.02481.0000

6、0 0畫圖：frontcon(ExpReturn,ExpCovariance, NumPorts)（2）例2中如果各個資產(chǎn)投資上限為50%，求解有效前沿？>> ExpReturn=0.0018,0.0016,0.0006;ExpCovariiance=0.0010,0.0004,0.0005; 0.0004,0.0017,0.0003; 0.0005,0.0003,0.0013;NumPorts =10;AssetBounds=0,0,0;0.5,0.5,0.5;PortRisk, PortReturn, PortWts = frontcon(ExpReturn,ExpCovari

7、ance, NumPorts,AssetBounds)PortRisk = 0.0156 0.0160 0.0164 0.0168 0.0173 0.0177 0.0182 0.0187 0.0192 0.0197PortReturn = 0.0011 0.0012 0.0013 0.0013 0.0014 0.0014 0.0015 0.0016 0.0016 0.0017PortWts = 0.1196 0.3804 0.5000 0.1967 0.3519 0.4514 0.2344 0.3706 0.3949 0.2722 0.3894 0.3385 0.3099 0.4081 0.2

8、820 0.3476 0.4268 0.2256 0.3853 0.4456 0.1691 0.4230 0.4643 0.1126 0.4608 0.4831 0.0562 0.5000 0.5000 0frontcon(ExpReturn,ExpCovariance, NumPorts,AssetBounds)3.約束條件下有效前沿例3. 例配置美好集團(tuán)、石油化服、首開股份三個資產(chǎn)，美好集團(tuán)最大配置60%，石油化服最大配置70%，首開股份最大配置50%，美好集團(tuán)為資產(chǎn)集合A，石油化服、首開股份組成資產(chǎn)計劃B，集合A的最大配置為70%，集合B的最大配置為50%，集合A的配置不能超過集合B的3

9、倍，則如何配置？解：>> NumAssets = 3; ExpReturn=0.0018,0.0016,0.0006;ExpCovariiance=0.0010,0.0004,0.0005; 0.0004,0.0017,0.0003; 0.0005,0.0003,0.0013;NumPorts =5;PVal = 1;AssetMin = 0;AssetMax=0.6,0.7,0.5;GroupA = 1 0 0;GroupB = 0 1 1;GroupMax =0.7,0.5;AtoBmax = 3;ConSet = portcons('PortValue', P

10、Val, NumAssets,'AssetLims',.AssetMin, AssetMax, NumAssets, 'GroupComparison',GroupA, NaN,.AtoBmax, GroupB,GroupMax );PortRisk, PortReturn, PortWts = portopt(ExpReturn, ExpCovariance, NumPorts, , ConSet)PortRisk = 0.0156 0.0165 0.0176 0.0187 0.0199PortReturn = 0.0011 0.0013 0.0014 0.0

11、016 0.0017PortWts = 0.1196 0.3804 0.5000 0.2468 0.3768 0.3764 0.3346 0.4204 0.2450 0.4225 0.4640 0.11350.6000 0.4000 0畫圖>> portopt(ExpReturn, ExpCovariance,NumPorts, , ConSet)二、投資組合績效分析從Wind咨詢金融終端分別下載三只股票（華麗家族、華遠(yuǎn)地產(chǎn)、合肥城建）和一只指數(shù)（中證800）從2014年年初至今的日收盤價數(shù)據(jù)，加以處理整理。之后根據(jù)2013-2014年的數(shù)據(jù)，對華麗家族、華遠(yuǎn)地產(chǎn)、合肥城建、中證8

12、00進(jìn)行投資組合績效分析。解：1. 讀取數(shù)據(jù)>> typ, desc, fmt = xlsfinfo('HHHZ.xlsX');>> data,textdate= xlsread('HHHZ.xlsX');>> HHHZ=data;>> save HHHZ HHHZ2. 三只股票和一只指數(shù)的精致曲線>> load HHHZ>> figure;>> hold on>> plot(HHHZ(:,1)/HHHZ(1,1),'k')>> plot(

13、HHHZ(:,2)/HHHZ(1,2),'r-.')>> plot(HHHZ(:,3)/HHHZ(1,3),'bo')>> plot(HHHZ(:,4)/HHHZ(1,4),'g-')>> xlabel('time')>> ylabel('price')>> legend('中證800,華麗家族','華遠(yuǎn)地產(chǎn)','合肥城建')3. Beta與Alpha計算以中證800作為市場收益，使用portbeta函數(shù)分別

14、計算華麗家族、華遠(yuǎn)地產(chǎn)、合肥城建的beta值。過程如下：(1) betaj計算load HHHZRate=price1ret(HHHZ);BSbeta=portbeta(Rate(:,4),Rate(:,1);（2）Alpha計算以中證800作為市場收益，使用portalpha函數(shù)分別計算華麗家族、華遠(yuǎn)地產(chǎn)、合肥城建的beta值。過程如下：>> load HHHZRate=price2ret(HHHZ);zz800=Rate(:,1);hljz=Rate(:,2);hydc=Rate(:,3);hfcj=Rate(:,4);daynum=fix(length(Rate)/2);ca

15、sh=(1+0.03)(1/daynum)-1;cash=cash*ones(daynum,1);RatioHL2013=daynum*portalpha(hljz(1:daynum),zz800(1:daynum),cash,'capm')RatioHL2014=daynum*portalpha(hljz(daynum+1:2*daynum),zz800(daynum+1:2*daynum),cash,'capm')RatioHY2013=daynum*portalpha(hydc(1:daynum),zz800(1:daynum),cash,'cap

16、m')RatioHY2014=daynum*portalpha(hydc(daynum+1:2*daynum),zz800(daynum+1:2*daynum),cash,'capm')RatioHF2014=daynum*portalpha(hfcj(1:daynum),zz800(1:daynum),cash,'capm')RatioHF2013=daynum*portalpha(hfcj(daynum+1:2*daynum),zz800(daynum+1:2*daynum),cash,'capm')RatioHL2013 = 0.3

17、119RatioHL2014 = 0.2903RatioHY2013 = 0.1122RatioHY2014 = 0.1566RatioHF2013 = 0.1046RatioHF2014 =0.03154. 夏普比率計算華麗家族、華遠(yuǎn)地產(chǎn)、合肥城建的夏普比率>> load HHHZRate=price2ret(HHHZ);hljz=Rate(:,2);hydc=Rate(:,3);hfcj=Rate(:,4);daynum=fix(length(Rate)/2);Cash=(1+0.03)(1/daynum)-1;RatioHL2013=sharpe(hljz(1:daynum)

18、,Cash)RatioHL2014=sharpe(hljz(daynum+1:2*daynum),Cash)RatioHYDC2013=sharpe(hydc(1:daynum),Cash)RatioHYDC2014=sharpe(hydc(daynum+1:2*daynum),Cash)RatioHF2013=sharpe(hfcj(1:daynum),Cash)RatioHF2014=sharpe(hfcj(daynum+1:2*daynum),Cash)結(jié)果：RatioHL2013 = 0.0768RatioHL2014 = 0.0549RatioHYDC2013 = 0.0493Rat

19、ioHYDC2014 = 0.0460RatioHF2013 = 0.0876RatioHF2014 =0.03775. 信息比率以中證800指數(shù)作為業(yè)績比較基準(zhǔn)，計算華麗家族、華遠(yuǎn)地產(chǎn)、合肥城建成長的信息比率編碼：>> load HHHZRate=price2ret(HHHZ);zz800=Rate(:,1);hljz=Rate(:,2);hydc=Rate(:,3);hfcj=Rate(:,4);daynum=fix(length(Rate)/2);RatioHL2013=inforatio(hljz(1:daynum),zz800(1:daynum)RatioHL2014=i

20、nforatio(hljz(daynum+1:2*daynum),zz800(daynum+1:2*daynum)RatioHYDC2013=inforatio(hydc(1:daynum),zz800(1:daynum)RatioHYDC2014=inforatio(hydc(daynum+1:2*daynum),zz800(daynum+1:2*daynum)RatioHF2013=inforatio(hfcj(1:daynum),zz800(1:daynum)RatioHF2014=inforatio(hfcj(daynum+1:2*daynum),zz800(daynum+1:2*da

21、ynum)計算結(jié)果：RatioHL2013 = 0.0115RatioHL2014 = -0.0107RatioHYDC2013 = -0.0279RatioHYDC2014 = -0.0171RatioHF2013 = -0.0455RatioHF2014 = -0.04866. 最大回撤根據(jù)華麗家族的數(shù)據(jù)計算最大回撤>> load HHHZTRate=HHHZ(:,2)/HHHZ(1,2)-1;MaxDD,MaxDDIndex=maxdrawdown(TRate,'arithmetic')plot(TRate)hold onplot(MaxDDIndex,TRa

22、te(MaxDDIndex),'r-o','MarkerSize',10)計算結(jié)果MaxDD = 2.3110MaxDDIndex = 359 4177. 市場指數(shù)變化的最大回撤圖根據(jù)中證800指數(shù)數(shù)據(jù)畫出最大收益回撤>> load HHHZZZ800price=HHHZ(:,1);N=length(ZZ800price);RetraceRatio=zeros(N,1);for i=2:N C=max(ZZ800price(1:i); if C=ZZ800price(i) RetraceRatio(i)=0; else RetraceRatio(i)

23、=(ZZ800price(i)-C)/C; endendTRate=ZZ800price/ZZ800price(1)-1;f=figure;fill(1:N,N,RetraceRatio;0,'r')hold onplot(TRate);xlabel('time')ylabel('Rate/RetraceRatio')三、固定收益證券的久期和凸度計算從wind資訊金融終端下載三只國債的相關(guān)信息如下，進(jìn)行國定收益證券的久期和凸度的計算。證券編號固定收益證券到期收益率票面利率結(jié)算日到期日計息方式15000715附息國債073.0450 3.5400

24、16-Apr-1516-Apr-22每年付息一次15002615附息國債263.0600 3.0500 22-Oct-1522-Oct-22每年付息一次15001915附息國債192.9050 3.1400 8-Sep158-Sep-20每年付息一次1. 三種債券的價格及計算日的利息計算（1）15附息國債07的價格和結(jié)算日利息計算>> Yield=0.03045;CouponRate=0.0354;Settle='16-Apr-2015'Maturity='16-Apr-2022'Period=1;Basis=0;Price,AccruedInt=b

25、ndprice(Yield,CouponRate,Settle,Maturity,Period,Basis)Price = 102.9320AccruedInt = 0（2）15附息國債26的價格和結(jié)算日利息計算>> Yield=0.036;CouponRate=0.0305;Settle='22-Oct-2015'Maturity='22-Oct-22'Period=1;Basis=0;Price,AccruedInt=bndprice(Yield,CouponRate,Settle,Maturity,Period,Basis)Price = 96

26、.4564AccruedInt = 0（2）15附息國債19的價格和結(jié)算日利息計算>> Yield=0.02905;CouponRate=0.0314;Settle='8-Sep-2015'Maturity='8-Sep-2020'Period=1;Basis=0;Price,AccruedInt=bndprice(Yield,CouponRate,Settle,Maturity,Period,Basis)Price = 100.9817AccruedInt = 02. 根據(jù)債券價格計算久期（1）15附息國債07的久期計算PRICE=102.9320

27、;CouponRate=0.0354;Settle='16-Apr-2015'Maturity='16-Apr-2022'Period=1;Basis=0;ModDuration, YearDuration, PerDuration=bnddurp(Price,CouponRate, Settle, Maturity, Period, Basis)ModDuration = 6.2212YearDuration = 6.3255PerDuration = 12.6509（2）15附息國債26的久期計算>> PRICE=96.4564;CouponRa

28、te=0.0305;Settle='22-Oct-2015'Maturity='22-Oct-22'Period=1;Basis=0;ModDuration, YearDuration, PerDuration=bnddurp(Price,CouponRate, Settle, Maturity, Period, Basis)ModDuration = 6.3209YearDuration = 6.4116PerDuration = 12.8233（3）15附息國債19的久期計算>> Price=100.9817;CouponRate=0.0314;

29、Settle='8-Sep-2015'Maturity='8-Sep-2020'Period=1;Basis=0;ModDuration, YearDuration, PerDuration=bnddurp(Price,CouponRate, Settle, Maturity, Period, Basis)ModDuration = 4.6390YearDuration = 4.7064PerDuration =9.41273.根據(jù)債券收益率計算久期（1）15附息國債07的久期計算>> Yield=0.03045;CouponRate=0.0354;

30、Settle='16-Apr-2015'Maturity='16-Apr-2022'Period=1;Basis=0;ModDuration, YearDuration, PerDuration=bnddurp(Yield,CouponRate, Settle, Maturity, Period, Basis)ModDuration = 0.0931YearDuration = 1.0086PerDuration = 2.0172（2）15附息國債26的久期計算>> Yield=0.036;CouponRate=0.0305;Settle='

31、22-Oct-2015'Maturity='22-Oct-22'Period=1;Basis=0;ModDuration, YearDuration, PerDuration=bnddurp(Yield,CouponRate, Settle, Maturity, Period, Basis)ModDuration = 0.1093YearDuration = 1.0118PerDuration =2.0236（3）15附息國債19的久期計算>> Yield=0.02905;CouponRate=0.0314;Settle='8-Sep-2015

32、9;Maturity='8-Sep-2020'Period=1;Basis=0;ModDuration, YearDuration, PerDuration=bnddurp(Yield,CouponRate, Settle, Maturity, Period, Basis)ModDuration = 0.0966YearDuration = 1.0093PerDuration =2.01853. 根據(jù)價格計算凸度（1）15附息國債07的凸度計算>> Price=102.9320;CouponRate=0.0354;Settle='16-Apr-2015

33、9;Maturity='16-Apr-2022'Period=1;Basis=0;YearConvexity,PerConvexity=bndconvp(Price,CouponRate, Settle, Maturity, Period, Basis)YearConvexity = 44.4010PerConvexity = 177.6039（2）15附息國債26的凸度計算>> Price=96.4564;CouponRate=0.0305;Settle='22-Oct-2015'Maturity='22-Oct-22'Period=1;Basis=0;YearConvexity,PerConvexity=bndconvp(Price,CouponRate, Settle, Maturity, Period, Basis)YearConvexity = 44.7