ProJ.rar_金融

function[pro1,pro2,pro3,pro4,pro5,pro6] = ProJ(HSt,IFt,HS,IF,HSbtw,bHS,IFbtw,bIF) prohd = 0; for j = 1:100 prohd = prohd + ((HSt-min(HS)+10)/100)*Kernel(min(HS)-10+((HSt-min(HS)+10))*j/100,HSbtw,HS,bHS); end %现货在时刻i处下降的概率 prohi = 0; for j= 1:100 prohi = prohi + ((max(HS)+10-HSt)/100)*Kernel(HSt+((max(HS)+10-HSt))*j/100,HSbtw,HS,bHS); end %现货在时刻i处上升的概率 proid = 0; for j = 1:100 proid = proid + ((IFt-min(IF)+10)/100)*Kernel(min(IF)-10+((IFt-min(IF)+10))*j/100,IFbtw,IF,bIF); end %期货在时刻i处下降的概率 proii = 0; for j = 1:100 proii = proii + ((max(IF)+10-IFt)/100)*Kernel(IFt+((max(IF)+10-IFt))*j/100,IFbtw,IF,bIF); end %期货在时刻i处上升的概率 profgd = prohd*proii;%计算期现反向变化使得基差下降的概率（用来计算止损止盈）%1.IF(t),HS(t)反方向走且基差变小的概率：H(X<HS(t))*I(X>IF(t)) profgi = prohi*proid;%计算期现反向变化使得基差上升的概率（用来计算止损止盈）%2.IF(t),HS(t)反方向走且基差变大的概率：H(X>HS(t))*I(X<IF(t)) pro1 = profgd; pro2 = profgi; %假设计算增减仓时的增量a a = (std(HS) + std(IF))/2;%将增量a设为现货和期货的标准差的均值 prohia = 0; for j = 1:100 prohia = prohia + ((max(HS)+10-a-HSt)/100)*Kernel(HSt+a+j*(max(HS)-a-HSt)/100,HSbtw,HS,bHS); end %现货比i时刻价格增长a的概率 proiial = 0; for j = 1:100 proiial = proiial + (a/100)*Kernel(IFt+j*a/100,IFbtw,IF,bIF); end %现货增长a时，期货增长值不到a的概率 protgihia = prohia*proiial; pro3 = protgihia; %3.IF(t),HS(t)同方向,计算H涨a时,且基差变大的概率：H(X>HS(t)+a)*I(IF(t)<X<IF(t)+a) proiia = 0; for j = 1:100 proiia = proiia + ((max(IF)+10-a-IFt)/100)*Kernel(IFt+a+j*(max(IF)+10-a-IFt)/100,IFbtw,IF,bIF); end %期货比i时刻价格增长a的概率 prohial = 0; for j = 1:100 prohial = prohial + (a/100)*Kernel(HSt+j*a/100,HSbtw,HS,bHS); end %期货增长a时，现货增长值不到a的概率 protgdiia = proiia*prohial; pro4 = protgdiia; %4.IF(t),HS(t)同方向,计算I涨a时,且基差变小的概率：H(HS(t)<X<HS(t)+a)*I(X>IF(t)+a) proida = 0; for j =1:100 proida = proida + ((IFt-a-min(IF)+10)/100)*Kernel(min(IF)-10+j*(IFt-a-min(IF)+10)/100,IFbtw,IF,bIF); end %期货比i时刻价格跌a的概率 prohdal = 0; for j = 1:100 prohdal = prohdal + (a/100)*Kernel(HSt-a+j*a/100,HSbtw,HS,bHS); end %期货跌a时，现货跌幅不到a的概率 protgiida = proida*prohdal; pro5 = protgiida; %5.IF(t),HS(t)同方向,计算I跌a时,且基差变大的概率：H(HS(t)>X>HS(t)-a)*I(X<IF(t)-a) prohda = 0; for j = 1:100 prohda = prohda + ((HSt-a-min(HS)+10)/100)*Kernel(min(HS)-10+j*(HSt-a-min(HS)+10)/100,HSbtw,HS,bHS); end %现货比i时刻跌a的概率 proidal = 0; for j =1:100 proidal = proidal + (a/100)*Kernel(IFt-a+j*a/100,IFbtw,IF,bIF); end %现货跌a时，期货跌幅不到a的概率 protgdhda = prohda*proidal; pro6 = protgdhda; %6.IF(t),HS(t)同方向,计算H跌a时,且基差变小的概率：H(X<HS(t)-a)*I(IF(t)>X>IF(t)-a) end