数据读取和过滤月底数据
对数据进行过滤后，需要估计模型参数，参数估计结果如下所示
估计参数后对Dax和spread序列进行蒙特卡洛模拟，模拟结果如下：
然后分别计算指数、互换和期权的投资收益，统计直方图如下
构成的投资组合的收益如下所示
组合的CVaR计算结果如下所示
051015202530
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
x 10
4
time variable t
firm value V
MonteCarlo Simulaiton of DAX Index value Path
051015202530
-0.36
-0.34
-0.32
-0.3
-0.28
-0.26
-0.24
time variable t
firm value V
MonteCarlo Simulaiton of EONIA Index value Path
-3000-2000-100001000200030004000
0
50
100
150
200
250
300
350
Portfolio Return
Frequency
The Hist Figure of Dax Index Return
405060708090100110120130140
0
50
100
150
200
250
300
350
Portfolio Return
Frequency
The Hist Figure of Swap Return
-5000500100015002000250030003500
0
100
200
300
400
500
600
700
800
900
1000
Portfolio Return
Frequency
The Hist Figure of Call Option Return
-4000-200002000400060008000
0
50
100
150
200
250
300
350
Portfolio Return
Frequency
The Hist Figure of Portfolio Return
15-0515-0815-1216-0316-0616-0917-0117-04
0.85
0.9
0.95
1
1.05
1.1
1.15
1.2
1.25
x 10
4
The plot of DAX data with and without beat
with beat
without beat
15-0515-0815-1216-0316-0616-0917-0117-04
-0.4
-0.35
-0.3
-0.25
-0.2
-0.15
-0.1
-0.05
0
The plot of EONIA data with and without beat
with beat
without beat
15-0515-0815-1216-0316-0616-0917-0117-04
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
The plot of the spread with and without beat
with beat
without beat