s0=41350;

npath=10000;

nstep=252;

sigma=0.2;

r=0.05;

sk=35000;

f=0.0001;

t=1;

rx=randn(npath,nstep);

deltat=t/nstep;

s=[s0*ones(npath,1) zeros(npath,nstep-1)];

for i=1:nstep-1

s(:,i+1)=s(:,i)+s(:,i)*r*deltat+sigma*deltat^0.5*(s(:,i).*rx(:,i));

end;

for m=1:nstep

[cdelt(:,m),pdelt(:,m)]=blsdelta(s(:,m),sk,r,1-(m-1)*deltat,sigma,0);

end;

% 产生现货持仓头寸

tc=ones(npath,nstep);

tcc(:,k)=1200*tc(:,k);

%每天需对冲头寸

dc=round(tcc.*pdelt);

%期货合约的价值

hyjz=(dc.*s*5);

bzj= hyjz*0.05*-1;

bzjMax = max(bzj')';

%头寸变化

dcb=[0*ones(npath,1) zeros(npath,nstep-1)];

for i=1:nstep-1

dcb(:,i+1)=(dc(:,i+1)-dc(:,i));

end

%手续费

zx=zeros(npath,nstep);

for m=1:nstep

zx(:,m)=exp(-r*(m-1)*deltat);

end

sxf=[abs(hyjz(:,1))*fzeros(npath,nstep-1)];

for i=1:nstep-1

sxf(:,i+1)=abs(dcb(:,i+1)).*s(:,i+1)*5*f.*zx(:,i+1);

end

zsxf=[sxf(:,1), zeros(npath,nstep-1)];

for i=1:nstep-1

zsxf(:,i+1)=zsxf(:,i)+sxf(:,i+1);

end

%平仓盈亏

pc=zeros(npath,nstep);

for i=1:npath

for j=1:nstep

if (dcb(i,j)>0 )

pc(i,j)=dcb(i,j)*(-1);

else

pc(i,j)=0;

end

end

end

%平仓盈亏的价格变化

jgbh=zeros(npath,nstep);

for i=1:nstep-1

jgbh(:,i+1)=s(:,i+1)-s(:,i);

end

pcyk=pc.*jgbh.*zx*5;

zpcyk=[pcyk(:,1), zeros(npath,nstep-1)];

for i=1:nstep-1

zpcyk(:,i+1)=zpcyk(:,i)+pcyk(:,i+1);

end

%持仓收益

cc=zeros(npath,nstep);

for m=1:npath

for j=1:nstep

if (dcb(m,j)<0 )

cc(m,j)=dc(m,j)-dcb(m,j);

else

cc(m,j)=dc(m,j);

end

end

end

ccyk=cc.*jgbh.*zx*5;

>> zccyk=[ccyk(:,1), zeros(npath,nstep-1)];

for i=1:nstep-1

zccyk(:,i+1)=zccyk(:,i)+ccyk(:,i+1);

end

%所有盈亏

zyk1=zeros(npath,5);

zyk1(:,1)=zsxf(:,nstep)*-1;

zyk1(:,2)=zpcyk(:,nstep);

zyk1(:,3)=zccyk(:,nstep);

zyk1(:,4)=zyk1(:,1)+zyk1(:,2)+zyk1(:,3);

zyk1(:,5)= bzjMax;

%期权复制平均成本

fzcb=mean(zyk1(:,4));

sig=std(zyk1(:,4))/npath^0.5;