Indexing problem for matrix

Good morning , i have a question related to indexing for the following
S=100;
T=1;
sig=[0.05:0.01:0.45];
m=0.07;
t=1/252;
E_T=0;
in=S*ones(1,41)%41 size sig;
while E_T < T -10^(-5)
E_T=E_T+t;
sig=[0.05:0.01:0.45];
Multip = exp((m-sig.^2/2)*t+sig.*sqrt(t).*randn(1,1));
S = S.*Multip;
in=[in S];
end
in=vec2mat(in,41,253);
i try to use more than 1 random number ex:randn(3,1) or (1,3) and then put the results for each value of sig in one raw (or colomn) Thank you in advance Best regards

Antworten (1)

Azzi Abdelmalek
Azzi Abdelmalek am 10 Jan. 2014

0 Stimmen

S=100;
T=1;
sig=[0.05:0.01:0.45];
m=0.07;
t=1/252;
E_T=0;
in=S*ones(3,41)%41 size sig;
while E_T < T -10^(-5)
E_T=E_T+t;
sig=[0.05:0.01:0.45];
Multip = bsxfun(@times,exp((m-sig.^2/2)*t+sig.*sqrt(t))',randn(1,3))';
S = S.*Multip;
in=[in S];
end

2 Kommentare

Dam
Dam am 10 Jan. 2014
Thank you for your answer , but it is apparently not generating the results I want as for Multip equation it is simply Multip= exp((m- sig^2/2)*t+sig*sqrt(t)*randn) So the random number is inside the exponentail and it is first mutiplied by sig*sqrt(t) only
Dam
Dam am 10 Jan. 2014
Bearbeitet: Dam am 10 Jan. 2014
Actually it is bsxfun(@times what i needed ... I used it differntly and it works now: A = (ones(3,1)*((m-sig.^2/2)*t)) B=bsxfun(@times, sig.*sqrt(t),randn(3,1)); Multip=exp(A+B); Thank you

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Dam
am 10 Jan. 2014

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am 20 Aug. 2021

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