% Program to simulate VAR by the monte-carlo method
% Only one stock
% James Thompson

function [VAR]=calc_VAR(iter,mu,sigma,t,S0,n,conf)


%Z=randn(1,iter);
Z=normrnd(0,1,[1 iter]);
S1= (S0*exp((mu-(1/2)*sigma*sigma)*t + sigma*sqrt(t)*Z))*n;
%S1 =(S0 + S0*(mu*t + sigma*sqrt(t)*Z))*n;

m=mean(S1);
S1=sort(S1);
VAR=m-S1(int32((iter*(1-conf))));
ABSVAR=S0*n-S1(int32((iter*(1-conf))));