Rank: 747 based on 92 downloads (last 30 days) and 6 files submitted
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Dan Doherty

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The MathWorks

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Files Posted by Dan View all
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14 Mar 2011 Screenshot Mathematical Modeling with MATLAB Products - webinar demo files Demo files from March 10, 2011 webinar titled 'Mathematical Modeling with MATLAB Products' Author: Dan Doherty surface fitting, symbolic math, global optimization, mathematical modeling, mupad 32 1
  • 5.0
5.0 | 2 ratings
16 Dec 2010 Screenshot Teaching Math and Physics with Symbolic Math Toolbox Learn how symbolic computation can be used to teach concepts and solve problems in Math and Physics Author: Dan Doherty mupad, symbolic math toolbox, calculus, physics, teaching 10 0
17 Nov 2010 Screenshot Using MATLAB(R) and Symbolic Math Toolbox(TM) to Develop and Analyze Financial Models These files accompany the webinar with the same title. Author: Dan Doherty mupad, derivative, analytical model, jacobian, symbolic, nelson siegel 22 4
  • 5.0
5.0 | 3 ratings
02 Jul 2009 Screenshot New Statistics Tools in MATLAB(R) and the Statistics ToolboxTM M-files used in the webinar held on November 18, 2004. Author: Dan Doherty statistics, probability, toolbox, survival, censor, multivariate 5 1
02 Jul 2009 Screenshot Using MATLAB(R) and the Statistics ToolboxTM for Design for Six Sigma (DFSS) M-files used in the webinar held on November 2, 2005 Author: Dan Doherty statistics, probability, design for six sigma, dfss, doe, transfer function 15 1
  • 2.66667
2.7 | 3 ratings
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14 Nov 2011 Using MATLAB(R) and Symbolic Math Toolbox(TM) to Develop and Analyze Financial Models These files accompany the webinar with the same title. Author: Dan Doherty K, Alexander

Sorry, the ForwardRate equation that I posted was for Svensson model and here is the equation for Nelson-Siegel model:

 ForwardRate = Beta0 + Beta1*(exp(-t/Tau1)) + Beta2*(t/Tau1)*(exp(-t/Tau1))
14 Nov 2011 Using MATLAB(R) and Symbolic Math Toolbox(TM) to Develop and Analyze Financial Models These files accompany the webinar with the same title. Author: Dan Doherty K, Alexander

Thanks for sharing, these files are very helpful.
I am just a beginner in the MatLab and may be mistaken, but it seems to me that there could be an error in the Nelson-Siegel and Svensson equations in yieldCurve_models.mn file.

More specifically Nelson-Siegel model is defined as:

y1 :=b0+b1*exp(-t/t1)+b2*(-t/t1)*exp(-t/t1)

while in the matlab file nelsonsiegelforward.m in finfixed folder the same model is defined as:

ForwardRate = Beta0 + Beta1*(exp(-t/Tau1)) + Beta2*(t/Tau1)*(exp(-t/Tau1)) + Beta3*(t/Tau2)*(exp(-t/Tau2)).

Please, correct me if I am mistaken.
03 Aug 2011 Using MATLAB(R) and Symbolic Math Toolbox(TM) to Develop and Analyze Financial Models These files accompany the webinar with the same title. Author: Dan Doherty Mescall, Liam

Great work thanks
13 Jul 2011 Using MATLAB(R) and Symbolic Math Toolbox(TM) to Develop and Analyze Financial Models These files accompany the webinar with the same title. Author: Dan Doherty Zhu, Henry

Thanks for your great work.
20 May 2011 Mathematical Modeling with MATLAB Products - webinar demo files Demo files from March 10, 2011 webinar titled 'Mathematical Modeling with MATLAB Products' Author: Dan Doherty li

very interesting
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mupad, statistics, probability, symbolic math, analytical model
Files Tagged by Dan View all
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Updated   File Tags Downloads
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14 Mar 2011 Screenshot Mathematical Modeling with MATLAB Products - webinar demo files Demo files from March 10, 2011 webinar titled 'Mathematical Modeling with MATLAB Products' Author: Dan Doherty surface fitting, symbolic math, global optimization, mathematical modeling, mupad 32 1
  • 5.0
5.0 | 2 ratings
16 Dec 2010 Screenshot Teaching Math and Physics with Symbolic Math Toolbox Learn how symbolic computation can be used to teach concepts and solve problems in Math and Physics Author: Dan Doherty mupad, symbolic math toolbox, calculus, physics, teaching 10 0
17 Nov 2010 Screenshot Using MATLAB(R) and Symbolic Math Toolbox(TM) to Develop and Analyze Financial Models These files accompany the webinar with the same title. Author: Dan Doherty mupad, derivative, analytical model, jacobian, symbolic, nelson siegel 22 4
  • 5.0
5.0 | 3 ratings
02 Jul 2009 Screenshot New Statistics Tools in MATLAB(R) and the Statistics ToolboxTM M-files used in the webinar held on November 18, 2004. Author: Dan Doherty statistics, probability, toolbox, survival, censor, multivariate 5 1
02 Jul 2009 Screenshot Using MATLAB(R) and the Statistics ToolboxTM for Design for Six Sigma (DFSS) M-files used in the webinar held on November 2, 2005 Author: Dan Doherty statistics, probability, design for six sigma, dfss, doe, transfer function 15 1
  • 2.66667
2.7 | 3 ratings

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