S dng MAPLE trong Ton ti chnh

Ta xt mt s vn c bn trong Ton ti chnh v s dng phn mm MAPLE h tr

vic tnh ton: lp cc hm ti chnh, v th v s dng mt s th tc sn c trong
MAPLE.
1. Li n v li gp
Gi s C l s tin u t ban u, i - li sut mt thi k, n - s thi k. Sau n thi k, s
tin thu c theo li n v theo li gp c tnh theo cng thc
Cn,n = C(1+in) v Cn,gp = C(1+i)n
Trong MAPLE ta biu din cc i lng trn bng cc hm 3 bin C, i, n:
> restart: Cd:=(C,i,n)->C*(1+i*n): Cg:=(C,i,n)->C*(1+i)^n:
tnh cc i lng Cd (s tin thu c theo li n), Cg (s tin thu c theo li
gp), ta thay cc gi tr ca C, i, n vo hm s va thit lp. Chng hn tm s tin thu
c sau 10 nm theo li n v li gp ca khon tin u t ban u 3.000 USD vi li
sut 9%/nm, ta vit lnh sau:
> Cnd:=Cd(3000,0.09,10); Cng:=Cg(3000,0.09,10);
Cnd := 5700.00

Cng := 7102.091025

Cng c th s dng cc hm s tm yu t th 4 khi bit 3 yu t khc.

Xt bi ton sau: Bit s tin thu c theo li gp l 7200 USD sau 10 nm vi li sut
9%/nm, tm s tin u t ban u:
> C0g:=fsolve(Cg(C,0.09,10)=7200,C);
C0g := 3041.357809

Bi ton v cch tm C0g v Cng cng l bi ton v cch tm gi tr hin ti v gi tr

tng lai ca tin t theo li gp.
Vic i tm li sut i khi bit C, Cg, n c nu qua v d sau: Bit s tin thu c theo
li gp l 7200 USD sau 10 nm, v s tin u t ban u l 3000 USD, tm li sut i:
> Laisuat:=fsolve(Cg(3000,i,10)=7200,i,0..1);
Laisuat := 0.09149342562

Li sut i xp x 9,15%.
S dng th ta c th d dng so snh s tin thu c theo li n v li gp trong
tng thi k.
> with(plots):
> plot({Cg(3000,0.09,ceil(x-1)),Cd(3000,0.09,ceil(x-1))},
x=0..11);

Qua th ta bit c s chnh lch gia hai s tin thu c t thi k th 1 n 11.
2. Dy nin kim
Cho mt dy gm n nin kim {Ak } di dng mt mng (array) A. Gi tr thu c Vn
ca dy nin kim c tnh ti thi im n thi im gi nin kim cui cng. Gi tr hin
ti V0 ca dy nin kim c tnh ti thi im 0 (thi im gc) - thi im trc thi
im gi nin kim u tin mt thi k. Ta th hin 2 i lng qua cc hm 2 bin
Vn(A, i) v V0(A,i):
n

Vn = Ak (1 + i ) n k
k =1

; V0 = Ak (1 + i ) k
k =1

> restart:
> Vn:=(A,i)->add(A[k]*(1+i)^(n-k),k=1..n):
V0:=(A,i)->add(A[k]*(1+i)^(-k),k=1..n):
tnh Vn v V0 ta a mng A v i vo hm s.
Chng hn cho dy gm 6 nin kim A = {1, 2, 3, 4, 5, 6} vi li sut 9%/nm, tnh gi tr
thu c Vn v gi tr hin ti V0 ca dy:
> A:=[1,2,3,4,5,6]; n:=nops(A):Vn(A,0.09); V0(A,0.09);
A := [1, 2, 3, 4, 5, 6]
24.44927418
14.57830336

Bit cc gi tr Vn v V0 ta c th tm li sut. Vi Vn = 24, ta tm c li sut:

> fsolve(Vn(A,i)=24,i,0..1);
0.07914496864

Vi Vn = 25, ta tm c li sut:
> fsolve(Vn(A,i)=25,i,0..1);
0.1029985617

Tuy nhin vi dy c n nin kim c nh a, ta xy dng trc tip cc hm tm gi tr thu

c v gi tr hin ti qua hm 3 bin Vcdn(a, i, n) v Vcd0(a, i, n).

(1 + i ) n 1
1 (1 + i ) n
; Vcd 0 = a
i
i
> Vcdn:=(a,i,n)->a*(((1+i)^n-1)/i):
Vcd0:=(a,i,n)->a*((1-(1+i)^(-n))/i):
Tm gi tr hin ti v gi tr thu c ca chui 10 nin kim c nh vi a = 30, i = 9%
> Vcd0(30,0.09,10); Vcdn(30,0.09,10);
Vcdn = a

192.5297310

455.7878917

Ta c th tm 1 yu t cn li khi bit 3 yu t khc (thng thng yu t n c

bit). Bit gi tr hin ti Vcd0 = 192, i = 9% v n = 10, tm nin kim a:
> Nienkim:=fsolve(Vcd0(a,0.09,10)=192,a);
Nienkim := 29.91745726

hay bit gi tr thu c Vcdn = 455, i = 9% v n = 10, tm nin kim a:

> Nienkim:=fsolve(Vcdn(a,0.09,10)=455,a);
Nienkim := 29.94814090

Tng t, bit gi tr hin ti Vcd0 = 192, a = 30 v n = 10, tm li sut i:

> Laisuat:=fsolve(Vcd0(30,i,10)=192,i);
Laisuat := 0.09062643287

hay bit gi tr thu c Vcdn = 455, a = 30 v n = 10, tm li sut i:

> Laisuat:=fsolve(Vcdn(30,i,10)=455,i);
Laisuat := 0.08963746142

3. Thm nh d n u t: NPV, NFV v IRR

Do MAPLE c cc phn t ca mng bt u t ch s 1, nn cn vit cc khon thu
(Thu) v chi (Ch) theo d n thnh 2 mng t thi k th 1 (bt u d n) n thi k th
n (kt thc d n). Mng CF l mng lung tin rng thu c: CF = Thu Ch. Lu
rng trong Ton ti chnh thi im gc ca d n thng c tnh l thi im 0, v ti
thi im 0, ngi ta bt u phi ri ngn. Cn iu chnh cc cng thc tnh MPV v
MFV: Gi tr hin ti rng (NPV) c tnh ti thi im 1, cn gi tr tng lai rng
(NFV) c tnh ti thi im n. Lp cc hm NPV(CF,i) v NFV(CF,i):
n

k =1

k =1

NPV = CFk (1 + i ) k +1 ; NFV = CFk (1 + i ) n k

Nu NPV > 0 th d n kh thi theo li sut u t i d nh.
> restart:
> CF:=Thu-Ch:NPV:=(CF,i)->add(CF[k]*(1+i)^(-k+1),k=1..n):
NFV:=(CF,i)->add(CF[k]*(1+i)^(n-k),k=1..n):
Cho hai dy Thu v Ch sau:
> Thu:=[0,0,0,3,3,1]:Ch:=[4,1,0,0,0,0]:n:=nops(Thu):
Vi li sut u t gi nh l 9%, tnh NPV, NFV:
npv:=NPV(CF,0.09);nfv:=NFV(CF,0.09);
3

npv := 0.1743262663
nfv := 0.268222570

V NPV > 0, nn d n kh thi vi li sut 9%. Tuy nhin vi li sut 12%, ta c:

> npv:=NPV(CF,0.12);
npv := -0.2835353093

NPV < 0 nn d n khng kh thi vi li sut 12%.

Tm li sut IRR - li sut lm cho NPV = 0.
> IRR:=fsolve(NPV(CF,r)=0,r,0..1);
IRR := 0.1009520848

Theo d n, li sut IRR 10,1%.

S dng th, v ng NPV vi li sut t 5% n 15%
> with(plots): plot(NPV(CF,r),r=0.05..0.15);

Gi tr IRR chnh l gi tr m ng NPV ct trc r

4. Th trng chng khon: Hp ng quyn chn mua (call option)
Trong cc phn trn, ta lp trc tip cc hm ti chnh cn quan tm. Tuy nhin, MAPLE
c gi th tc (package) Finance tnh ton mt s vn trong Ti chnh. Gi gi ny
bng:
> with(finance):
Ta nu cch dng th tc blackscholes trong gi Finance.
Xt cc call option kiu M. Gi s mt call option c gi thc hin l 49 U (n v tin
t), v cn 199 ngy l n ngy o hn. Hin mt call option ang c bn vi gi
50 U. Gi s phng sai ca gi c phiu l 0,09 nm v li sut phi ri ro l 7%/nm. S
dng m hnh Black-Scholes, ta tnh c gi quyn chn (option value) ca call option
ang xt. Th tc gi blackscholes c 5 tham s: gi c phiu, gi thc hin, li sut phi
ri ro, s nm tnh n ngy o hn, cn bc hai ca phng sai gi c phiu. y s
nm l 199/365.
> evalf(blackscholes(50.00,49.00,0.07,199/365,sqrt(0.09))):
5.849179520

Gi quyn chn ca call option xp x 5,85 U.

Th hin gi quyn chn l mt hm ca gi c phiu:

> f:=x->evalf(blackscholes(x,49.00,0.07,199/365,sqrt(0.09))):
Nu mun gi quyn chn ngy hm t mc 6,5 th phi ch gi c phiu t mc:
> solve(f(x)=6.5,x);
50.98296423

Ta v th ca mi quan h ny vi gi c phiu bin thin t 30 U n 100 U:

> with(plots): plot( f(x), x=30..100);

Nu bp bnh (giao ng) ca gi c phiu tng 0,01

> evalf(blackscholes(50, 49,0.07,199/365,sqrt(0.09+0.01)));
6.072347530

th gi quyn chn tng.

5. Kt lun
Vic t thit lp cc hm ti chnh cn nghin cu cho php gii quyt cc vn theo yu
cu t ra mt cch linh hot. Cng c th s dng cc th tc sn c trong MAPLE x
l mt s bi ton trong Ton ti chnh.
MAPLE tr gip c lc cho vic ging dy v nghin cu Ton ti chnh.

PHAN C CHU