Financial engineering example...
Not a big fun of discretion though I do charity Monte Carlo system. A bank has written a allure discretion on one hoard and a put discretion on another hoard. For the primary discretion the hoard charge is 50, the penetscold charge is 51, the incongruity is 28% per annum, and the era to ripeness is 9 months. For the prevent discretion the hoard charge is 20, the penetscold charge is 19, and the incongruity is 25% per annum, and the era to ripeness is 1 year. Neither hoard pays a dividend. The risk-free scold is 6% per annum, and the mutuality among hoard charge income is 0.4.
1. Using C/C++ or Java or Matlab to count the 10-day 99% Monte Carlo Simulation established VaR for the portfolio. Set the number of simulation to 5000.
2. What else basis is required to count the 10-day 99% Historical established VaR for the portfolio?
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