HI there 我正在使用Octave 2.3.4繪圖命令。我是Octave的新手。由於某些原因,此圖不會顯示。這裏是我的M文件示例:八度運行正常但不顯示劇情?
1;
clear all;
%%%%%%%%% parameters setting %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
r=0.01; %risk free rate
S0=50; %underlying price 1
%create an implied volatiltiy surface using below parameters:
basevol=0.25; %implied volatility at time t=0 and in center of strike axis
skewT=-0.001; %icrease in vol for one unit increase in maturity
v1=0.1; %defines how much a smile is raised at left end from base vol
v3=0.2; %defines how much a smile is raised at right end from base vol
nK=100; %no. of strike steps
nT=10; %no. of time steps
Tmax=1; %maximum value in time axis
Kmin=1; %minimum value in strike price axis
Kmax=150; %maximum value of strike price axis
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
dt=Tmax/(nT-1);
Tvec=0:dt:1;
dk=(Kmax-Kmin)/(nK-1);
Kvec=Kmin:dk:Kmax;
Tvec=Tvec';
Kvec=Kvec';
nK=size(Kvec,1);
nT=size(Tvec,1);
dvolT=ones(nK,nT)*(skewT*dt);
dvolT=cumsum(dvolT,2);
SmileVec=GetSmile(Kvec,v1,0,v3);
dvolK=ones(nK,nT);
dvolK=repmat(SmileVec,1,nT);
ImpliedVolSurface=ones(nK,nT)*basevol+dvolT+dvolK;
%use formula mentioned by John Elder in "Hedging for Financial Derivatives"
%this formula gives local volatility using implied volatility
function ret=GetLocalVolSurface(ImpliedVolSurface, S, r, Kvec, Tvec)
[m,n]=size(ImpliedVolSurface);
LocalVolSurface=zeros(m,n);
dk=Kvec(2)-Kvec(1);
dt=Tvec(2)-Tvec(1);
x=ImpliedVolSurface;
for i=3:m-2, %loop over strikes
for j=1:n-1, %loop over time steps
dv_dk=(x(i+1,j)-x(i-1,j))/(2*dk);
dv2_dk2=(x(i-1,j)-2*x(i,j)+x(i+1,j))/(dk*dk);
dv_dt=(x(i,j+1)-x(i,j))/dt;
K=Kvec(i);
T=Tvec(j+1);
rT=T^0.5;
sig=x(i,j);
h1=(log(S/K)+r*T+0.5*sig*sig*T)/(sig*rT);
numer=sig*sig + 2*T*sig*dv_dt + 2*r*K*T*sig*dv_dk;
denom=(1+K*h1*rT*dv_dk)^2 + K*K*T*sig*sig*(dv2_dk2-h1*dv_dk*dv_dk*rT);
LocalVolSurface(i,j)=(numer/denom)^0.5;
end
end
ret=LocalVolSurface;
endfunction
LocalVol_Surface=GetLocalVolSurface(ImpliedVolSurface,S0,r,Kvec,Tvec);
AsyImplVols=zeros(nK,1);
T=Tvec(nT-1);
F=S0*exp(r*T);
for i=3:nK-2,
% use formula sigBS(F,K)=sigLoc((F+K)/2)
K=Kvec(i);
lookupK=(F+K)/2;
kdiff=abs(Kvec-lookupK); %try to find nearest point in grid
kidx=min(find(kdiff==min(kdiff)));
if ((kidx > 3) && (kidx < nK-2)),
AsyImplVols(i)=LocalVol_Surface(kidx);
else
AsyImplVols(i) = NaN;
end
end
figure(1);
plot(Kvec(3:nK-2),[ImpliedVolSurface(3:nK-2,nT-1) LocalVol_Surface(3:nK-2,nT-1) AsyImplVols(3:nK-2)]);
當我在沒有錯誤的情況下運行Octave時,圖從不顯示。它確實包括gnuplot 1.0.1,我知道這個圖表是什麼?有沒有我不做或失蹤的事情?我也在Windows 2003 Server上運行它。 謝謝
什麼是'GetSmile()'該做的? – chl