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Highlights from
Modern Pricing Method using Transforms

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Modern Pricing Method using Transforms



25 Jul 2012 (Updated )

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

createfigure_convergence_b(X1, YMatrix1,tit, legend1, legend2)
% This is material illustrating the methods from the book
% Financial Modelling  - Theory, Implementation and Practice with Matlab
% source
% Wiley Finance Series
% ISBN 978-0-470-74489-5
% Date: 02.05.2012
% Authors:  Joerg Kienitz
%           Daniel Wetterau
% Please send comments, suggestions, bugs, code etc. to
% (C) Joerg Kienitz, Daniel Wetterau
% Since this piece of code is distributed via the mathworks file-exchange
% it is covered by the BSD license 
% This code is being provided solely for information and general 
% illustrative purposes. The authors will not be responsible for the 
% consequences of reliance upon using the code or for numbers produced 
% from using the code. 

function createfigure_convergence_b(X1, YMatrix1,tit, legend1, legend2)
%  X1:  vector of x data
%  YMATRIX1:  matrix of y data

%  Auto-generated by MATLAB on 20-Apr-2011 11:37:48

% Create figure
figure1 = figure('PaperSize',[20.98 29.68],'Name',tit,'Color',[1 1 1]);

% Create axes
axes1 = axes('Parent',figure1);

% Create multiple lines using matrix input to plot
plot1 = plot(X1,YMatrix1,'Parent',axes1,'Color',[0 0 0]);
set(plot1(1),'Marker','v','LineStyle','--', 'DisplayName',legend1);
set(plot1(2),'Marker','diamond','LineStyle',':', 'DisplayName',legend2);

% Create xlabel

% Create ylabel
ylabel('log(rel. error)');

% Create title

% Create legend

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