Index error for the "ELS-Price choice code"

ns=10000;

face=10000;
val_date='2023-09-26';
mid_date= ['2024-03-21';'2024-09-23';'2025-03-21';'2025-09-23';'2026-03-23';'2026-09-18'];

strike=[1 0.95 0.9 0.85 0.8 0.75];

c_rate=[0.05 0.1 0.15 0.2 0.25 0.3];

dummy=0.1;
ki=0.5;
ki_YesNO='NO';

ref_S= [9179.5];
S=[6130]; 
r=0.05;
vol=[0.09];
rho=0.37;

temp_ch=datenum(mid_date)'-datenum(val_date);

mid_ch=temp_ch(find(temp_ch>=0));

c_rate=c_rate(find(temp_ch>=0));
strike=strike(find(temp_ch>=0));

N=mid_ch(end);
dt=1/365;
mid_size=length(mid_ch);

payment=zeros(ns,mid_size);

for i =1:ns
    for j=1:mid_size
        payment(i,j)=face*(1+c_rate(j));
    end
end



corr=[1 rho;rho 1];
M=chol(corr);

SP1=zeros(ns,N+1);
SP1(:,1)=S(1);

for i=1:ns
    w0=randn(N,2);
    w=w0*M;
    for j=2:N+1
        SP1(i,j)=SP1(i,j-1)*exp((r-vol(1)^2/2)*dt+...
    		vol(1)*sqrt(dt)*w(j-1,1));
    end
end

R1=SP1/ref_S(1);
WP=min(R1,[],2);

strike_ch=WP(:,mid_ch+1);
payoff=zeros(ns,mid_size);

for i=1:ns
    for j=1:mid_size
        if strike_ch(i,j)>=strike(j)
    		payoff(i,j)=payment(i,j);
    		break
        end
    end
    continue
end

for i=1:ns
    if payoff(i,:)==0
        switch ki_YesNo
            case 'NO'
                ki_event=any(WP(i,:)<ki);
                if ki_event==1
                    payoff(i,end)=face*WP(i,end);
                else
                    payoff(i,end)=face*(1+dummy);
                end
            case 'Yes'
                payoff(i,end)=face*WP(i,end);
            otherwise
                error('ki_YesNO = Yes or No');
        end
    end
end

exp_payoff=mean(payoff);

disc_payoff=zeros(1,mid_size);
for j=1:mid_size
    disc_payoff(j)=exp_payoff(j)*exp(-r*mid_ch(j)/365);
end

ELS_Price=sum(disc_payoff)

--------------------------------------------------

If i run this code, there are "Index of location 2 exceeds array boundary. Index must not exceed 1." error occured, What should i do to solve this error code...

Answer 1

[Angelo Yeo]

In line 43, see that WP is an array of 10000 x 1. However, you are trying to extract elements by WP(:, mid_ch+1) where mid_ch is [177, 363, 542, 728, 909, 1088].

[형현]

I changed array of 10000x1 to 1x1089 vector. ___ Code change(WP=min(R1,[],2); → WP=min(R1);)

But i still have error code "Index of location 1 exceeds array boundary. Index must not exceed 1

[Angelo Yeo]

I would like to recommend debugging functionalities of MATLAB, and try to run the script line by line.

https://www.mathworks.com/help/matlab/matlab_prog/debugging-process-and-features.html

In your new code, see in line 47 that strike_ch is a 1x6 sized array, and you are accessing it by strike_ch(i, j). However, your iterator i changes its value from 1 to 10000.