Financial Toolbox
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MATLAB for R Users in Computational Finance Demos from the webinar Backtest Moving Average RSI Combo Strategy |
0 Comments 41 Downloads (30 Days) |
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Monte Carlo Simulation for Portfolio Assets Simulate sample path allow us to see the pattern that assets price will face. Crucial to hedge risk. |
0 Comments 36 Downloads (30 Days) |
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This function applies any operator on a given period (week, month, years). |
3 Comments 22 Downloads (30 Days) |
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Yahoo Finance Time Series Analysis Tool Performs various time series analysis operations |
0 Comments 115 Downloads (30 Days) |
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Building and Extending Portfolio Optimization Models with MATLAB Object-oriented implementations of the Portfo and the Black-Litterman approach compareWeights( ExcessHistoricalReturns, ExcessImpliedRet... |
0 Comments 21 Downloads (30 Days) |
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Trinomial tree seaption pricing Swaption pricing function under the Hull-White lattice model. It allows finer grid. trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d... |
0 Comments 5 Downloads (30 Days) |
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Black1976 swaption pricing for a bespoke deal This function prices a swaption portfolio with any cash-low structure |
0 Comments 2 Downloads (30 Days) |
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This function plots the Hull-White tree structure |
0 Comments 3 Downloads (30 Days) |
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This function calibrates the Hull-White trinomial tree. |
0 Comments 5 Downloads (30 Days) |
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volatility to premium for swaptions (Black76 model) This function convert ATM volatility surface into swaption premiums and par rates. |
0 Comments 4 Downloads (30 Days) |
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Trinomial tree swaption pricing This function generates swaption prices under the Hull-White trinomial tree model. |
0 Comments 3 Downloads (30 Days) |
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GUI for viewing various simple technical analysis indicators of a time series |
4 Comments 104 Downloads (30 Days) |
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Price call and put options using Constant Elasticy of Variance model An alternative to using Black and Scholes model is using Constant Elasticity of Variance model. |
0 Comments 4 Downloads (30 Days) |
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Graphical Black and Shcoles calculator for visualizing different sensetives |
2 Comments 15 Downloads (30 Days) |
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Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices |
0 Comments 26 Downloads (30 Days) |
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Analyzing Investment Strategies with CVaR Portfolio Optimization Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. |
2 Comments 30 Downloads (30 Days) |
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A Toolbox that allows the user to backtest trading strategies on the FTSE100. |
1 Comment 42 Downloads (30 Days) |
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Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex |
3 Comments 5 Downloads (30 Days) |
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mergecellkey: Merge cell by key mergecellkey: Merge cell by key |
0 Comments 1 Download (30 Days) |
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Treynor-Black portfolio management model Treynor-Black portfolio management model [pct_w_pos_opti beta_pos_opti pct_w_active measures_port ... |
0 Comments 8 Downloads (30 Days) |
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Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object |
1 Comment 27 Downloads (30 Days) |
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Automated Trading with MATLAB - 2012 Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration. Algorithmic Trading with MATLAB: Intraday trading |
12 Comments 153 Downloads (30 Days) |
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SCOPE: interactively tabulate SEER excel variables This takes SEER excel column data interactively, tabulate them, write back in table format. |
0 Comments 4 Downloads (30 Days) |
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THRESHOLD REGRESSION PROGRAMME this programme could be used to analysis the threshold effects form panel data |
0 Comments 4 Downloads (30 Days) |
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Output set of stock prices from yahoo finance as a matrix with header and dates into excel Output historical stock prices for a basket of stocks and given period as a matrix with header |
0 Comments 8 Downloads (30 Days) |
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Credit Risk Modeling with MATLAB These are the supporting MATLAB files for the MathWorks webinar of the same name. |
28 Comments 55 Downloads (30 Days) |
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Improving MATLABĀ® performance when solving financial optimization problems Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm |
0 Comments 10 Downloads (30 Days) |
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Approaches to implementing Monte Carlo methods in MATLAB Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths) |
1 Comment 16 Downloads (30 Days) |
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Amortization schedule with variable interest rates Computes & optionally saves & plots some variables, like interest paid and balance outstanding. |
0 Comments 3 Downloads (30 Days) |
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Using MATLAB to Optimize Portfolios with Financial Toolbox Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. |
3 Comments 82 Downloads (30 Days) |
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Portfolio Optimizer Tool |
17 Comments 63 Downloads (30 Days) |
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Algorithmic Trading with MATLAB - 2010 Files from the November 18, 2010 webinar. Algorithmic Trading with MATLAB®: Evolutionary Learning Algorithmic Trading with MATLAB®: More Signals Algorithmic Trading with MATLAB®: Moving Average and RSI |
20 Comments 144 Downloads (30 Days) |
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Internet enabled data analysis and visualization. DisplayStockData(symbol, startdate, frequency, periods) |
16 Comments 19 Downloads (30 Days) |
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Efficient frontier from Yahoo or database data. |
4 Comments 12 Downloads (30 Days) |
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Demos commonly used at The MathWorks financial modeling seminars. |
11 Comments 24 Downloads (30 Days) |
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Black-Scholes Option Value Web Application - Java/Tomcat This example code demonstrates how to access Java components generated by MATLAB Builder for Java fr optionvalue(SpotPrice, StrikePrice, RiskFreeRate,TimeExpi... webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeEx... |
0 Comments 14 Downloads (30 Days) |
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Pricing Derivatives Securities using MATLAB Examples of pricing derivatives securities using MATLAB optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, s... |
5 Comments 21 Downloads (30 Days) |
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Open source/open architecture quantitative portfolio management environment. |
1 Comment 16 Downloads (30 Days) |
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Desenvolvimento de Aplicacoes com MATLAB Slides and demo files from the webinar "Desenvolvimento de Aplicacoes com MATLAB" |
0 Comments 1 Download (30 Days) |
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Fitting Survival Probability Models Companion code for "Fitting Survival Probability Models" article. protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probf... |
1 Comment 7 Downloads (30 Days) |
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Valuation of stock option with discrete dividend Compare different pricing models for stock option with discrete dividend. |
0 Comments 4 Downloads (30 Days) |
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Retrieve stock data from Yahoo and draw the rolling frontier 3D graph |
0 Comments 3 Downloads (30 Days) |
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A simple code example, for generating date output as char from UICalendar. |
0 Comments 2 Downloads (30 Days) |
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Using MATLAB to Develop Macroeconomic Models Analyze a stylized version of the Smets-Wouters model for the United States economy. |
5 Comments 34 Downloads (30 Days) |
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Compute European call option price using the Heston model and a conditional Monte-Carlo method |
1 Comment 16 Downloads (30 Days) |
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Algorithmic Trading with MATLAB - 2009 update M-file scripts and Simulink models from webinar on 28 May 2009 |
13 Comments 32 Downloads (30 Days) |
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MATLAB no Desenvolvimento de Modelos para Financas Slides and demo files using Brazilian market data. |
0 Comments 0 Downloads (30 Days) |
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Constant Volume Bars |
1 Comment 3 Downloads (30 Days) |
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This short routine calculates the mark-to-market price of a credit default swap. cds_price(initDate, endDate, initSpread, curSpreads, disc... |
0 Comments 8 Downloads (30 Days) |
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Allow for negative and bigger than 12 month number with eomdate.m function |
0 Comments 2 Downloads (30 Days) |