0001 cd('..');
0002 boot;
0003 cd(cgmm_config.directories.plot);
0004
0005 load(cgmm_config.estimates.wasc);
0006
0007
0008 mu = mu_cgmm
0009 Sigma_0 = Sigma_0_cgmm
0010 M = M_cgmm
0011 Q = Q_cgmm
0012 rho = rho_cgmm
0013 beta = round(beta_cgmm)
0014
0015 S_0 = [100; 100]
0016 y_0 = log(S_0)
0017
0018 dt = 1/250
0019 t = 0:dt:5;
0020
0021 [y, vol] = sim_wasc_2d(y_0, mu, Sigma_0, M, Q, rho, beta, t);
0022
0023 subplot(3,1,1);
0024 plot(exp(y));
0025 title('Stock Price');
0026 subplot(3,1,2);
0027 plot(vol(:,1:2));
0028 title('Volatility');
0029 subplot(3,1,3);
0030 plot(vol(:,3));
0031 title('Correlation');
0032
0033 print(cgmm_config.plots.simulation('wasc'), cgmm_config.plots.device)