Merge branch 'master' of github.com:JuliaLang/julia

Author: JeffBezanson

examples/stockcorr.jl

@@ -0,0 +1,38 @@
+## Test case from Issue #445
+
+function stockcorr()
+#STOCKCORR - The original, unoptimised code that simulates two correlated assets
+
+## Correlated asset information
+CurrentPrice = [78. 102.];       #Initial Prices of the two stocks
+Corr = [1. 0.4; 0.4 1.];         #Correlation Matrix
+T = 500;                       #Number of days to simulate = 2years = 500days
+n = 100000;                    #Number of simulations
+dt = 1./250.;                    #Time step (1year = 250days)
+Div=[0.01 0.01];               #Dividend
+Vol=[0.2 0.3];                 #Volatility
+
+##Market Information
+r = 0.03;                      #Risk-free rate
+
+## Define storages
+SimulPriceA=zeros(T,n);    #Simulated Price of Asset A
+SimulPriceA[1,:]=CurrentPrice[1];
+SimulPriceB=zeros(T,n);    #Simulated Price of Asset B
+SimulPriceB[1,:]=CurrentPrice[2];
+
+## Generating the paths of stock prices by Geometric Brownian Motion
+UpperTriangle=chol(Corr);    #UpperTriangle Matrix by Cholesky decomposition
+
+for i=1:n
+   Wiener=randn(T-1,2);
+   CorrWiener=Wiener*UpperTriangle;
+   for j=2:T
+      SimulPriceA[j,i]=SimulPriceA[j-1,i]*exp((r-Div[1]-Vol[1]^2/2)*dt+Vol[1]*sqrt(dt)*CorrWiener[j-1,1]);
+      SimulPriceB[j,i]=SimulPriceB[j-1,i]*exp((r-Div[2]-Vol[2]^2/2)*dt+Vol[2]*sqrt(dt)*CorrWiener[j-1,2]);
+   end
+end
+
+return (SimulPriceA, SimulPriceB)
+
+end