Navigating curves by sri

Developing Scenario Analysis Applications using Interest Rate Curve Objects in MATLAB (finance, interest rate curves, simulation)

getNewNelsonsiegelParams(oldParams, t)

getNewNelsonsiegelParamsN(oldParams, t,n)

getNewZeroRates( NSModel,params,PlottingDates )

Trinomial tree seaption pricing by Francesco Paolo Esposito

Swaption pricing function under the Hull-White lattice model. It allows finer grid. (finance)

trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d_a...

Black1976 swaption pricing for a bespoke deal by Francesco Paolo Esposito

This function prices a swaption portfolio with any cash-low structure (finance)

swaptionbyblk_bank( U, V, Curve )

trinomial tree plot by Francesco Paolo Esposito

This function plots the Hull-White tree structure (finance)

trintree_plot( BKTree )

Trinomial tree calibration by Francesco Paolo Esposito

This function calibrates the Hull-White trinomial tree. (finance)

trintree_calswaption( Curve, V, Period, coin )

volatility to premium for swaptions (Black76 model) by Francesco Paolo Esposito

This function convert ATM volatility surface into swaption premiums and par rates. (finance)

vol2par_swaption( curve, V, period )

Trinomial tree swaption pricing by Francesco Paolo Esposito

This function generates swaption prices under the Hull-White trinomial tree model. (finance)

trintree_swaption_HW(U, Curve, opt_type, model, a)

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

Financial Seminar Demos by Ameya Deoras

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, portfolio var risk ma...)

PortVaRmc(nsim)

blsimpv(so,x,r,t,call,maxiter,q,tol)

blsvis(varargin)

Fitting Survival Probability Models by Gabo

Companion code for "Fitting Survival Probability Models" article. (default probability, credit risk, wilmott)

genHazFun(t,b)

protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probfun...

rpv01(Term,Settle,RPV_Dates,Basis,LIBOR,probfun,b)

Chinese Matlab Digest: Matlab Technical Bulletin by Hong Zhang

Chinese Matlab Digest is the first matlab digest published in Chinese by www.iLoveMatlab.cn (digest, matlab digest, chinese digest)

Adaptive median filter using Embedded MATLAB by Kiran Kintali

This demo shows how to implement an adapative median filter in hardware (median filter, embedded matlab, embedded matlab)

get_center_data(min,med,max,center_data)

get_median(inbuf)

get_median_1d(inbuf)