金融MATLAB试验报告三

1、安徽财经大学金融证券实验室实验报告实验课程名称金融MATLAB 开课系部金融学院班级学号姓名指导教师2015年*月*日实验名称MATLAB金融数量分析学院学号姓名实验准备实 验 目 的学会使用MATLA金融工具箱进行金融数量分析，如：期权定价分析、投资组 合绩效分析、收益和风险的计算、有效前沿的计算、固定收益证券的久期和 凸度计算、利率的期限结构、技术指标计算等。实 验 设 计 方 案使用MATLAB融工具箱对下述6个主题进行数量分析，数据来源自行在网上搜 寻，要求是2014年之后的数据。（可参照各章的例题）1. 期权定价分析（第10章）2. 收益、风险和有效前沿的计算（第12章）3. 投资组

2、合绩效分析（第13章）4. 固定收益证券的久期和凸度计算（第17章）5. 利率的期限结构（第18章）6. 技术指标分析 （第22章）本头验报告不指疋具体的题目，请大豕自仃设疋，同学相互之1可不要出现雷同。实验分析过程一、收益、风险和有效前沿的计算从Wind咨询金融终端分别下载三只股票（美好集团、石油化服和首开股份）从2013年年初至今的日收盘价价格，经过相关处理得出三只股票的收益率均值、标准差以及协方差矩阵等数据，如下表。现根 据表格数据进行关于收益、风险和有效前沿计算。收益率均值收益率标准差协方差矩阵美好集团0.00180.03120.00100.00040.0005石油化服0.00160.

3、04110.00040.00170.0003首开股份0.00060.03610.00050.00030.00131. 收益率和风险计算函数例1假设等权重配置美好集团、石油化服、首开股份，计算资产组合的风险和收益。 解： ExpReturn=0.0018,0.0016,0.0006;ExpCovariia nce=0.0010,0.0004,0.0005; 0.0004,0.0017,0.0003;0.0005,0.0003,0.0013;PortWts=1/3*o nes(1,3);PortRisk, PortReturn = portstats(ExpReturn, ExpCovaria n

4、ce,PortWts)PortRisk =0.0170PortRetur n =0.00132. 有效前沿计算函数例2.( 1)怎样配置美好集团、石油化服和首开股份，则资产组合为最优组合？ 解： ExpReturn=0.0018,0.0016,0.0006; ExpCovariia nce=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,ExpCovaria nee, NumPorts

5、) PortRisk =0.01370.01390.01440.01510.01580.01660.01750.01840.01940.0229PortRetur n =0.00060.00080.00090.00100.00120.00130.00140.00150.00170.0018PortWts =00.04390.956100.17240.82760.02750.26780.70470.10320.30540.59140.17890.34300.47810.25460.38060.36470.33030.41830.25140.40600.45590.13810.48170.4935

6、0.02481.000000画图：frontcon (ExpRetur n,ExpCovaria nee, NumPorts)0.013 0.014 O.OfS 0.016 0.017 0.018 0.019 0 02 0.021 0 022 0.C23 - i I 4，；i：i : .E3罡 prloadx山(2)例2中如果各个资产投资上限为50%，求解有效前沿？ ExpReturn=0.0018,0.0016,0.0006;ExpCovariia nce=0.0010,0.0004,0.0005;0.0004,0.0017,0.0003;0.0005,0.0003,0.0013;NumPo

7、rts =10;AssetBo un ds=0,0,0;0.5,0.5,0.5;PortRisk, PortReturn, PortWts = frontcon (ExpReturn,ExpCovaria nee, NumPorts,AssetBou nds) PortRisk =0.01560.01600.01640.01680.01730.01770.01820.01870.01920.0197PortRetur n =0.00110.00120.00130.00130.00140.00140.00150.00160.00160.0017PortWts =0.11960.38040.500

8、00.19670.35190.45140.23440.37060.39490.27220.38940.33850.30990.40810.28200.34760.42680.22560.38530.44560.16910.42300.46430.11260.46080.48310.05620.50000.50000frontcon (ExpRetur n,ExpCovaria nee, NumPorts,AssetBo unds)Risk (Standard Deviation)EEalxpabgdK山3约束条件下有效前沿例3.例配置美好集团、石油化服、首开股份三个资产，美好集团最大配置 60

9、%，石油化服最大配置 70% , 首开股份最大配置 50%，美好集团为资产集合 A，石油化服、首开股份组成资产计划B，集合A的最大配置为70%，集合B的最大配置为50%，集合A的配置不能超过集合 B的3倍，则如何配置？解： NumAssets = 3;ExpReturn=0.0018,0.0016,0.0006;ExpCovariia nce=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 =

10、1 0 0; GroupB = 0 1 1;GroupMax =0.7,0.5;AtoBmax = 3;Co nSet = portco ns(PortValue, PV al, NumAssets,AssetLims,.AssetMin, AssetMax, NumAssets, GroupCompariso n,GroupA, NaN,.AtoBmax, GroupB,GroupMax );PortRisk, PortReturn, PortWts = portopt(ExpReturn, ExpCovaria nee, NumPorts, , Co nSet) PortRisk =0.0

11、1560.01650.01760.01870.0199PortRetur n =0.00110.00130.00140.00160.0017PortWts =0.11960.38040.50000.24680.37680.37640.33460.42040.24500.42250.46400.11350.60000.40000画图 portopt(ExpRetur n, ExpCovaria nce,N umPorts, , Con Set)1.8x 103Mean-Variance-Efficient Frontier171.6151.41.31.21.10.0155 0.016 00165

12、 0.017 0.0175 0018 0.0185 0G19 C.01950.02Risk (Standard Deviation)、投资组合绩效分析从Wind咨询金融终端分别下载三只股票（华丽家族、华远地产、合肥城建）和一只指数（中证800 ）从2014年年初至今的日收盘价数据，加以处理整理。之后根据 产、合肥城建、中证 800进行投资组合绩效分析。2013-2014年的数据，对华丽家族、华远地日期收攵盘价（兀）2013-01-042643.832013-01-072658.722013-01-082657.142013-01-092659.232013-01-102666.742013-0

13、1-112612.772013-01-142710.22013-01-152736.96中证800华丽家族华远地产合肥城建收盘价（元）收盘价（元）收盘价（元）4.614.016.954.463.946.914.483.947.44.493.97.24.943.987.24.953.796.95.013.97.055.083.917.08解:1. 读取数据 typ, desc, fmt = xlsfinfo(HHHZ.xlsX); data,textdate= xlsread(HHHZ.xlsX); HHHZ=data; save HHHZ HHHZ2. 三只股票和一只指数的精致曲线 load

14、HHHZ figure; hold on plot(HHHZ(:,1)/HHHZ(1,1),k) plot(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(中证800,华丽家族,华远地产,合肥城建)8 中证日007 .华丽家族O 华远地产 -合聊锻建0 JJJ111LL1Q5D10015020025030D3504D04503. Beta 与 Alpha 计算以中证800作为市场收益，使用portbeta函数分

15、别计算华丽家族、华远地产、合肥城建的beta值。过程如下：(1) betaj 计算load HHHZRate=price1ret(HHHZ);BSbeta=portbeta(Rate(:,4),Rate(:,1);(2)Alpha 计算以中证800作为市场收益，使用portalpha函数分别计算华丽家族、华远地产、合肥城建的beta值。过程如下： load HHHZRate=price2ret(HHHZ);zz800=Rate(:,1);hljz=Rate(:,2);hydc=Rate(:,3);hfcj=Rate(:,4);daynum=fix(le ngth(Rate)/2);cash=(

16、1+0.03F(1/day num)-1;cash=cash* on es(da ynu m,1);RatioHL2013=day num*portalpha(hljz(1:day nu m),zz800(1:day num),cash,c apm)RatioHL2014=day nu m*portalpha(hljz(day nu m+1:2*day num),zz800(day nu m+1:2*day num),cash,capm)RatioHY2013=day nu m*portalpha(hydc(1:day num),zz800(1:day num),cash,capm)Ratio

17、HY2014=day nu m*portalpha(hydc(da yn um+1:2*day nu m),zz800(day nu m+1:2*da yn um),cash,c apm) RatioHF2014=day num*portalpha(hfcj(1:day num),zz800(1:day num),cash,c apm)RatioHF2013=day nu m*portalpha(hfcj(day num+1:2*day num),zz800(day nu m+1:2*da yn um),cash,capm) RatioHL2013 =0.3119RatioHL2014 =0.

18、2903RatioHY2013 =0.1122RatioHY2014 =0.1566RatioHF2013 =0.1046RatioHF2014 =0.03154. 夏普比率计算华丽家族、华远地产、合肥城建的夏普比率 load HHHZRate=price2ret(HHHZ);hljz=Rate(:,2);hydc=Rate(:,3);hfcj=Rate(:,4);daynum=fix(le ngth(Rate)/2);Cash=(1+0.03F(1/day nu m)-1;RatioHL2013=sharpe(hljz(1:day num),Cash)RatioHL2014=sharpe(h

19、ljz(day nu m+1:2*day num),Cash)RatioHYDC2013=sharpe(hydc(1:day num),Cash)RatioHYDC2014=sharpe(hydc(day num+1:2*day num),Cash)RatioHF2013=sharpe(hfcj(1:day num),Cash)RatioHF2014=sharpe(hfcj(day nu m+1:2*da yn um),Cash)结果：RatioHL2013 =0.0768RatioHL2014 =0.0549RatioHYDC2013 =0.0493RatioHYDC2014 =0.0460

20、RatioHF2013 =0.0876RatioHF2014 =0.03775. 信息比率以中证800指数作为业绩比较基准，计算华丽家族、华远地产、合肥城建成长的信息比率 编码： load HHHZRate=price2ret(HHHZ);zz800=Rate(:,1);hljz=Rate(:,2);hydc=Rate(:,3);hfcj=Rate(:,4);daynum=fix(le ngth(Rate)/2);RatioHL2013=i nforatio(hljz(1:day nu m),zz800(1:day num)RatioHL2014=i nforatio(hljz(day nu

21、m+1:2*day nu m),zz800(day num+1:2*day num)RatioHYDC2013=i nforatio(hydc(1:day num),zz800(1:day num)RatioHYDC2014=i nforatio(hydc(day num+1:2*day num),zz800(day num+1:2*day nu m)RatioHF2013=i nforatio(hfcj(1:day num),zz800(1:day nu m)RatioHF2014=i nforatio(hfcj(day nu m+1:2*da yn um),zz800(day num+1:

22、2*day nu m)107.市场指数变化的最大回撤图 根据中证800指数数据画出最大收益回撤 load HHHZ ZZ800price=HHHZ(:,1); N=le ngth(ZZ800price); RetraceRatio=zeros(N,1);for i=2:NC=max(ZZ800price(1:i);if C=ZZ800price(i)RetraceRatio(i)=0;else RetraceRatio(i)=(ZZ800price(i)-C)/C;endendTRate=ZZ800price/ZZ800price(1)-1; f=figure;fill(1:N,N,Retra

23、ceRatio;0,r)hold on plot(TRate); xlabel(time) ylabel(Rate/RetraceRatio)-145040no30on250III-1150eIm12三、固定收益证券的久期和凸度计算从wind资讯金融终端下载三只国债的相关信息如下，进行国定收益证券的久期和凸度的计算。证券编号固定收益证券到期收益率票面利率结算日到期日计息方式15000715附息国债073.04503.540016-Apr-1516-Apr-22每年付息一次15002615附息国债263.06003.050022-Oct-1522-Oct-22每年付息一次15001915附息国债

24、192.90503.14008-Sep158-Sep-20每年付息一次1. 三种债券的价格及计算日的利息计算(1) 15附息国债07的价格和结算日利息计算 Yield=0.03045;Coup on Rate=0.0354;Settle=16-Apr-2015：Maturity=16-Apr-2022：Period=1;Basis=0;Price,Accruedl nt=b ndprice(Yield,Coupo nRate,Settle,Maturity,Period,Basis)Price =102.9320AccruedI nt =0(2) 15附息国债26的价格和结算日利息计算 Yie

25、ld=0.036;Coup on Rate=0.0305;Settle=22-Oct-2015：Maturity=22-Oct-22;Period=1;Basis=0;Price,AccruedI nt=b ndprice(Yield,Coupo nRate,Settle,Maturity,Period,Basis)Price =96.4564AccruedI nt =0(2)15附息国债19的价格和结算日利息计算 Yield=0.02905;Coup on Rate=0.0314;Settle=8-Sep-2015;Maturity=8-Sep-2020;Period=1;Basis=0;P

26、rice,AccruedI nt=b ndprice(Yield,Coupo nRate,Settle,Maturity,Period,Basis)Price =100.9817AccruedI nt =0132. 根据债券价格计算久期(1) 15附息国债07的久期计算PRICE=102.9320;Coup on Rate=0.0354;Settle=16-Apr-2015：Maturity=16-Apr-2022：Period=1;Basis=0;ModDuratio n, YearDurati on, PerDuratio n=b nddurp(Price,Coupo nRate, Set

27、tle, Maturity, Period, Basis)ModDurati on =6.2212YearDurati on =6.3255PerDurati on =12.6509(2) 15附息国债26的久期计算 PRICE=96.4564;Coup on Rate=0.0305;Settle=22-Oct-2015;Maturity=22-Oct-22;Period=1;Basis=0;ModDuratio n, YearDurati on, PerDuratio n=b nddurp(Price,Coupo nRate, Settle, Maturity, Period, Basis)

28、ModDurati on =6.3209YearDurati on =6.4116PerDurati on =12.8233(3) 15附息国债19的久期计算 Price=100.9817;Coup on Rate=0.0314;Settle=8-Sep-2015;Maturity=8-Sep-2020;Period=1;Basis=0;ModDuratio n, YearDurati on, PerDuratio n=b nddurp(Price,Coupo nRate, Settle, Maturity, Period, Basis)14ModDurati on =4.6390YearDu

29、rati on =4.7064PerDurati on =9.41273. 根据债券收益率计算久期(1) 15附息国债07的久期计算 Yield=0.03045;Coup on Rate=0.0354;Settle=16-Apr-2015：Maturity=16-Apr-2022：Period=1;Basis=0;ModDuratio n, YearDuratio n, PerDuratio n=b nddurp(Yield,Coup on Rate, Settle, Maturity, Period, Basis)ModDurati on =0.0931YearDurati on =1.00

30、86PerDurati on =2.0172(2) 15附息国债26的久期计算 Yield=0.036;Coup on Rate=0.0305;Settle=22-Oct-2015：Maturity=22-Oct-22：Period=1;Basis=0;ModDuratio n, YearDuratio n, PerDuratio n=b nddurp(Yield,Coup on Rate, Settle, Maturity, Period, Basis)ModDurati on =0.1093YearDurati on =1.0118PerDurati on =2.023615(3) 15附

31、息国债19的久期计算 Yield=0.02905;Coup on Rate=0.0314;Settle=8-Sep-2015：Maturity=8-Sep-2020：Period=1;Basis=0;ModDuratio n, YearDuratio n, PerDuratio n=b nddurp(Yield,Coup on Rate, Settle, Maturity, Period, Basis)ModDurati on =0.0966YearDurati on =1.0093PerDurati on =2.01853.根据价格计算凸度(1) 15附息国债07的凸度计算 Price=10

32、2.9320;Coup on Rate=0.0354;Settle=16-Apr-2015：Maturity=16-Apr-2022：Period=1;Basis=0;YearC on vexity,PerC on vexity=b ndcon vp(Price,Coup on Rate, Settle, Maturity, Period, Basis)YearC on vexity =44.4010PerC on vexity =177.6039(2) 15附息国债26的凸度计算 Price=96.4564;Coup on Rate=0.0305;Settle=22-Oct-2015;Maturity=22-Oct-22;Period=1;Basis=0;YearC on vexity,PerC on vexity=b ndcon vp(Price,Coup on Rate, Settle, Maturity, Period, Basis) YearC on