kennedyisback
XLDnaute Nouveau
Voici une application OBPI (option base portfolio insurance) que je dois effectuer, cependant il m'est impossible de la faire fonctionner (message d'erreur : sub ou fonction non définie) sauriez vous m'expliquer d'ou vient l'erreur ? merci !
Code:
Option Base 1
Sub OBPI()
Dim rf As Double, S0 As Double, Mu As Double, Sigma As Double, Plancher As Double
Dim Strike As Double, dT As Double, Nb_Points As Double, Simulations As Double
Dim Position_Actions As Double, Position_sansrisque as double, Valorisation_Position As Double, beta As Double, Echeance as double
S0 = 100
Mu = 0.08
Sigma = 0.3
rf = 0.03
Plancher = 80
Strike = Deter_Strike(S0, Plancher, rf, Sigma, 1, Plancher / 100)
Nb_Points = 252
dT = 1 / Nb_Points
Simulations = 1000
ReDim Performance(Simulations, 2) As Double
For i = 1 To Simulations
Spot = S0
Echeance = 1
beta = Proportion_Actions(Spot, Strike, rf, Sigma, Echeance)
Position_Actions = beta * S0
Position_sansrisque = (1 - beta) * S0
For j = 1 To Nb_Points
Taux_Rentabilite = Taux_Rentabilite_Action(Mu, Sigma, dT)
Spot = Spot * Exp(Taux_Rentabilite)
Valorisation_Position = Position_Actions * Exp(Taux_Rentabilite) + Position_sansrisque * Exp(rf * dT)
Echeance = WorksheetFunction.Max(Echeance - dT, 1E-08)
beta = Proportion_Actions(Spot, Strike, rf, Sigma, Echeance)
Position_Actions = beta * Valorisation_Position
Position_sansrisque = (1 - beta) * Valorisation_Position
Next j
Performance(i, 2) = Valorisation_Position
Performance(i, 1) = Spot
Next i
Range("A1:B1000").Value = Performance
End Sub
Function Deter_Strike(S, K, R, Sigma, T, proportion_garde)
epsilon = 1E-15
Do
d1 = (Log(S / K) + (R + 0.5 * Sigma ^ 2) * T) / (Sigma * Sqr(T))
d2 = d1 - Sigma * Sqr(T)
K = (-proportion_garde * (S + BS_STD("Put", S, K, R, Sigma, T)) + K * proportion_garde * Exp(-R * T) * Nd(-d2)) / _
(proportion_garde * Exp(-R * T) * Nd(-d2) - 1)
erreur = proportion_garde * (S + BS_STD("Put", S, K, R, Sigma, T)) - K
Loop Until Abs(erreur) < epsilon
Deter_Strike = K
End Function
Function Taux_Rentabilite_Action(Mu, Sigma, dT)
epsilon = WorksheetFunction.NormSInv(Rnd)
Taux_Rentabilite_Action = (Mu - Sigma ^ 2 / 2) * dT + Sigma * epsilon * Sqr(dT)
End Function
Function Proportion_Actions(Spot, Strike, rf, Sigma, Echeance)
d1 = (Log(Spot / Strike) + (rf + Sigma ^ 2 / 2) * Echeance) / (Sigma * Sqr(Echeance))
d2 = d1 - Sigma * Sqr(Echeance)
Proportion_Actions = Spot * Nd(d1) / (Spot * Nd(d1) + Strike * Exp(-rf * Echeance) * Nd(-d2))
End Function
Function BS_STD(TypeOption, S, K, R, Sigma, T)
d1 = (Log(S / K) + (R + 0.5 * Sigma ^ 2) * T) / _
(Sigma * Sqr(T))
d2 = d1 - Sigma * Sqr(T)
Z = Switch(TypeOption)
BS_STD = Z * (S * Nd(Z * d1) - K * Exp(-R * T) * Nd(Z * d2))
End Function
Function Nd(d)
Nd = WorksheetFunction.NormSDist(d)
End Function
Function Switch(TypeOption)
TypeOption = UCase(TypeOption)
If TypeOption = "C" Or TypeOption = "CALL" Then
Switch = 1
Else
Switch = -1
End If
End Function
