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updated 1 month ago

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 )

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updated 2 months ago

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...

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updated 2 months ago

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 )

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updated 2 months ago

trinomial tree plot by Francesco Paolo Esposito

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

trintree_plot( BKTree )

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updated 2 months ago

Trinomial tree calibration by Francesco Paolo Esposito

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

trintree_calswaption( Curve, V, Period, coin )

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updated 2 months ago

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 )

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updated 2 months ago

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)

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updated 11 months ago

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)

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updated 2 years ago

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)

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updated 3 years ago

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)

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updated 4 years ago

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)

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updated almost 5 years ago

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)

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