Discussion between Rod Lm and Milan Ivica

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Milan Ivica

1:47 PM

are you there?

Rod Lm

Hey

I'm here

Milan Ivica

thanks for coming

I have edited the code, but I am a little bit curious

could you please run this:

Remove["Global`*"]

Manipulate[SeedRandom[seed]; meanvector := Mean[assets];
assets =
Table[RandomFunction[
GeometricBrownianMotionProcess[\[Mu], \[Sigma], S0], {0, time,
0.1}]["Path"], {P}];
processes = Transpose[assets[[#]]][[2]] & /@ Range@Length[assets];
processesposition =
Flatten[Position[
Min[processes[[#]]] & /@
Range@Length[assets], _?(# > watermark &)]];
processesposition2 =
Flatten[Position[
Min[processes[[#]]] & /@
Range@Length[assets], _?(# > watermark2 &)]];
watermarkedassets = assets[[#]] & /@ processesposition;

First I am not sure if it is calculating the processes beyond or below the watermark correctly

Rod Lm

It's calculating the number of processes below the watermarks...

Milan Ivica

Ok it's fine, that is the goal, but e.g. when I look at the chart, i only see one process at the end of the period below the watermark and according to the displayed value its 2

Rod Lm

If you want to calculate the number of processes above the watermarks just use Length[assets]-Length[watermark]...

Milan Ivica

1:53 PM

Ok...however, its an visual problem. I made an update and still, according to the displayed value there are four processes below the watermark but I can see only one

do you also see it?

Rod Lm

Give me all your defined values, pls

Milan Ivica

ok..here is the code:

Rod Lm

Initial stock value = ?, Drift = ?, SD = ?, Paths = ?

That's the only think I need... I've run the code already

thing*

Milan Ivica

initial stock value=100; drift=0.08;SD=0.2;Path=6;Time=0;w=75;w2=70

I just used the initial values

Rod Lm

Time can't be zero...

Milan Ivica

1:58 PM

t=10

Rod Lm

So, both watermarks have the same number of processes above it: 4

the total number of processes is 6

so, 4 divided by 6 equals 0.6666667

and that's what I get from the computation

Actually I've done a minor modification

and I'm getting correct values now

Milan Ivica

yes..but when you look at the chart, I see only one process below the watermark

Rod Lm

No... that's wrong...

listen

Milan Ivica

yes?

Rod Lm

when the minimum value of the process is below the watermark, it's not considered anymore in the calculation

I think what you want is:

when the final value of the process is below the watermark, it must be disconsidered from the calculation

it's completely different;;;

got it?

Milan Ivica

2:03 PM

yes...I got it...thank you a lot :)

Rod Lm

so the calculation is based on minimum values

by the way

Milan Ivica

ok...thank you

Rod Lm

do not use ToString[Length[processesposition]/Length[assets]]

use instead

ToString[N[Length[processesposition]/Length[assets]]

so that you can get a numerical value

from the division

Milan Ivica

Thank you a lot

Rod Lm

It was a pleasure

Milan Ivica

2:07 PM

I would have just one more question if you have time

Rod Lm

sure

Milan Ivica

but not so important if you are in hurry

Rod Lm

go ahead

Milan Ivica

I posted today this question

Q: Manipulating and plotting two interdependent functions:

I want to plot two functions. Function G8 and G9. Both should be manipulable. Function G9 should dependent on Function G8. Function G8 has a bigger starting value. If function G8 increases by δ function G9 should also increase by δ. And I want to manipulate δ. Manipulate[G8 := Plot[a, {x, 0, 8...

so given that I wat watermark2 to be dependent on watermark and that the difference between the watermarks which is delta can be manipulated. can i do it this way?

Rod Lm

what exactly do you mean?

Milan Ivica

2:11 PM

I have watermakr and watermark2 lets sey that the difference between the two is delta

so if i increase the watermark by 1 than watermark2 also increases by 1

Rod Lm

oh I see

Milan Ivica

since the difference is delta I want to manipulate delat

Rod Lm

you want actually a fixed interval between the two watermarks

Milan Ivica

so if I increase delta to 1,5

yes kind of

Rod Lm

that's easy

imagine the follwing

Milan Ivica

2:12 PM

yes?

Rod Lm

given x and given y

Milan Ivica

Rod Lm

you can set y to be equal to x + a

so you only need to manipulate a

let me see it really fast

1 sec

Milan Ivica

yes..in my case its delta

a=delta

do you mean it like this way?

Manipulate[G8 := Plot[a, {x, 0, 8}];
G9 := Plot[a - \[Delta], {x, 0, 8}, PlotStyle -> Red];
Show[G8, G9], {a, 4, 20, Appearance -> "Labeled"}, {\[Delta], 1, 20,
0.1, Appearance -> "Labeled"}]

Rod Lm

Try this

Manipulate[x := y + delta;
Dynamic[x], {y, 1, 20, 1, Appearance -> "Labeled"}, {delta, 1, 20, 1,
Appearance -> "Labeled"}]

Milan Ivica

2:19 PM

thanks

Rod Lm

got it ?

Milan Ivica

think so, is the code i sent to you also correct?

i mean this one?

Manipulate[G8 := Plot[a, {x, 0, 8}];
G9 := Plot[a - \[Delta], {x, 0, 8}, PlotStyle -> Red];
Show[G8, G9], {a, 4, 20, Appearance -> "Labeled"}, {\[Delta], 1, 20,
0.1, Appearance -> "Labeled"}]

Rod Lm

I think so... I would improve it this way

Manipulate[G8 := Plot[a, {x, 0, 8}];
G9 := Plot[a - \[Delta], {x, 0, 8}, PlotStyle -> Red,
AxesOrigin -> {0, 0}];
Show[G8, G9], {a, 4, 20, Appearance -> "Labeled"}, {\[Delta], 1, 20,
0.1, Appearance -> "Labeled"}]

Just fix the AxesOrigin to better see your Plot

Milan Ivica

Thanks...I will try this not with the watermarks :-)

Thank you a lot for your help

Rod Lm

ok! Good luck !

Milan Ivica

2:24 PM

thanks...I wish you a pleasant day

Rod Lm

thank you! Tell me if you need anything else...

I'll be here for the next one hour or so...