Comment coder Un exo J

Afin de coder un arbre binomiale, on peut utiliser l'algèbre suivant:

###################1
SharpeRatio <- function(x,y) {
mu1 <- mean(x)
mu2 <- mean(y)
sig <- sd(x)
sr <- (mu1 - mu2) / sig
return(sr)
}
###################2
covars <- function(x) {
mat <- t( matrix( colMeans(x),dim(x)[2],dim(x)[1] ) )
cov <- ( t(x-mat) %*% (x-mat) ) /( dim(x)[1]-1 )
return(cov)
}
####################3
PortRet <- function(x,y) {
a <- t(x)%*%y
return(a)
}

PortSig <- function (x,y) {
sig2 <- t(x)%*%y%*%x
sig <- sqrt(sig2)
return(sig)
}

#PortSig(w,v)

####################4
GetData <- function(x) {
a <- get.hist.quote(x,compression="m",quote="Close",start= "2000-01-01")
return(a)
}

FCHI <- GetData("^FCHI")

######################5
Code.R <- {
FF <- read.csv(file="C:\\Users\\Jakelyn\\Desktop\\Euribor.csv",header=TRUE,sep=";",dec=",")
MKT <- as.matrix(FF[,2]) # ,dim(FF)[1],dim(FF)[2])
srm <- SharpeRatio(MKT,rf)
p <- paste("le facteur MKT a un ratio de Sharpe de",srm)
print(p)
}