Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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)

Pairs Trading Strategy by tadeveloper

A pairs trading strategy implemented in MATLAB. (computational finance, trading, backtesting)

MATLAB pairs trading strategy

PairsTradingStrategy(sys)

Tornado Plot by Rick

This creates tornado plots based on a specified sensitivity value. (tornado, plot, barh)

Tornado.m

quadratic equation interpolation by Sherif Omran

assume you have a quadratic equation y=ax^2+bx+c.This script determines a, b , c (s, mathematics, measurement)

[a,b,c]=Quadratic(x,y)

fred2read by Peter Gruber

Load macroeconomic data from the FRED2 server of the federal reserve bank of St. Louis. (data import, economics, finance)

[calDate series header]=fred2read(ticker)

Technical Indicators by Nate Jensen

A single function that calculates 25 different technical indicators (technical indicators, modeling, analysis)

indicators(vin,mode,varargin)

Risk-neutral density recovery via spectral analysis by Matthias

Implementation of Monnier (2013) "RND recovery via spectral analysis" (finance, statistics, risk neutral density)

spectralrecovery(X,bid,ask,F,r,tau,nopt)

spectralExample.m

Loan Calculator by Paul Metcalf

This loan calculator tool performs interest calculations for fixed rate loans. (finance, simulink, optimization)

loan_optimization

Technical Analysis Tool by Phil Goddard

GUI for viewing various simple technical analysis indicators of a time series (analysis, modeling, finance)

Technical Analysis Tool

axislocations_set(obj)

axislocations_store(obj)

Quandl API Access by Ray

Access and download data from the Quandl database from inside the MATLAB console. (data import, finance, statistics)

quandl(code, varargin)

Date Vector or Serial Date Number to ISO 8601 Date String by Stephen Cobeldick

Convert a Date Vector/Number to an ISO 8601 Date String. Tokens control the date/time notation. (date, timestamp, datevec)

datestr8601(DtV,varargin)

ISO 8601 Date String to Serial Date Number by Stephen Cobeldick

Convert an ISO 8601 Date String to a Serial Date Number. Autodetect or select timestamp style. (calendar date, date, datenum)

datenum8601(str,tok)

N-Dimensional Trapezoidal integral by Mohammed Sadeq Al-Rawi

See title. (communications, biotech, image processing)

trapezoidal_rule_nd_integral(x, mat, N)

Merton Structural Credit Model by Mark Whirdy

Calculates Firm Asset Value, Asset Volatility, Debt Value, Credit Spread, Default Prob, Exp-Recovery (credit, structural model, finance)

calcMertonModel(E_t,sig_E,K,t,T,r)

MertonSurfaceMovie-1.wmv

Cuckoo Search (CS) Algorithm by Xin-She Yang

A standard Cuckoo Search is implemented, which is very efficient. There are three versions now. (levy flights implemen..., optimization, natureinspired algori...)

[bestnest,fmin]=cuckoo_search(n)

[bestnest,fmin]=cuckoo_search_new(n)

[bestsol,fval]=cuckoo_search_spring(time)

Rounding Functions Collection by Stephen Cobeldick

All the rounding functions you will ever need: round to even, significant figures, decimal places... (rounding, numeric, data)

round2dn(X)

round2dp(X,DcP,FnH)

round2ev(X)

Shapley Portfolio Risk Decomposition by Hakan

Calculates the percentage contribution to risk of each asset/strategy/investment. (finance, statistics)

ShapleyRiskDecomposition(C,w,createplot,names)

Shapley Risk Decomposition of Portfolio Risk by Hakan

Calculates the percentage contribution to portfolio volatility of each investment. (finance, statistics, portfolio risk)

ShapleyRiskDecomposition(C,w,createplot,names)

Band Trading Strategy by tadeveloper

A band trading strategy implemented in MATLAB. (band trading, trading strategy, quant)

BandTrader(sys)

Variance Ratio Test by Anis Ben Hassen

Variance ratio and related statistics. (finance, modeling, analysis)

varatio.m

Price/Volume chart by Foo

Plots the stock price with the volume as a horizontal bar histogram (finance, volume, data)

pricevolume_chart(date_vect,close_day, volume_vect)

Generalized Hurst exponent by Tomaso Aste

Generalized Hurst exponent of a stochastic variable (signal processing, finance, statistics)

[mH,sH]=genhurst(S,q,maxT)

Weighted generalized Hurst exponent by Tomaso Aste

Computes the generalized Hurst exponent with exponential weights (finance, physics, signal processing)

[mH,sH]=genhurstw(S,q,delta,maxT)

Black and Shcoles calculator by Hanan Kavitz

Graphical Black and Shcoles calculator for visualizing different sensetives (black and shcoles, finance, gui)

blscalculator(varargin)

Download Yahoo Finance Data For Trading and Backtesting by tadeveloper

The script downloads 10 years of stock data from Yahoo Finance. (yahoo, finance, data)

getyahoo10(symbols, directory)

Trapezoidal Integration by Aravazhi Anbarasu

Simple and intuitive numerical integration based on trapezoidal rule. (data import, data export, control design)

int_trapz(X,Ts)

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. (finance, portfolio, optimization)

covered_engine(X, T, mu, sigma, ...

gbm_calibration(t0, X, t)

gbm_call_price(X0, K, r0, T, sigma)

Statistical Backtest Toolbox by Benjamin Heelan

A Toolbox that allows the user to backtest trading strategies on the FTSE100. (strategies, backtesting, algorthmic trading)

...

Buy_only_trade_execution_algo(x,D,Buy_Signal,Sell_Signal)

Trade_Plots(C,D,n,P_n_L)

Matrix Decomposition by Aleksander

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex (spectral decompositio..., cholesky decompositio..., correlation matrix)

SpectralDP(Correlation)

Hurst Exponent Estimation by Vilen Abramov

the code uses R/S analysis to derive Hurst exponent (hurst, finance, var)

Linear regression with statistics for multiple category data by Soumya Banerjee

This function does linear regression with statistics for multiple category data (OLS and RMA) (aerospace, automotive, biotech)

regress_plot_twocategories

Markowitz Efficient Frontier by Luca Beldi

Calculates the Markowitz Efficient Frontier (efficient frontier, mean standard deviati..., finance)

EfficientFrontier( Assets , NumPoints, LongOnly)

Fast String to Double Conversion by Lauri Tamminen

str2doubleq converts text to double like Matlab's str2double,but up to 400x faster! multithreaded. (data import, finance, mex)

test_str_to_double_performance()

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (conditional copula ga..., var, guassian copula)

varargout...

Generating correlation matrices based on the boundaries of their coefficients. by Kawee Numpacharoen

Correlation can be generated using uniform random variable distribution within the boundaries. (statistics, simulation, mathematics)

[C,p]=RandomCorr(n,K)

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

Multifractal detrended fluctuation analyses by Espen Ihlen

The multifractal (detrended fluctuation..., statistics, medical)

MFDFA1(signal,scale,q,m,Fig)

MFDFA2(signal,scale,m,Fig)

Matlabcodes.m

Real-Time Stock Viewer by Ameya Deoras

Plot and analyze live market data from Bloomberg or Yahoo. (datafeed, finance, bloomberg)

Real-Time Stock Viewer

RTviewer(varargin)

bloomRT(obj,event,Conn,ticker)

All Purpose Mortgage Calculator including mortgage schedule by S B

This calculator gives you all the information you need to know while shopping for a mortgage Loan (different interest ra..., 30 year mortgage loan..., finance)

All Purpose Mortgage Calculator including mortgage schedule

ALLMORTGAGEF(varargin)

priceF2DCDS by mono

This function performs a pricing strategy for a First to Default Credit Default Swap (CDS). (portfolio pricing, credit risk, first to default cred...)

premium=priceF2DCDS(hazard,cor,interestRate,nrsim,tinvest)

survivePortfolio by mono

Specify a joint distribution of survival times for a credit portfolio of credit risks. (portfolio, pricing, joint distribution)

p=survivePortfolio(hazard,cor,nrsim,tinvest)

Simple mortgage calculator by Samuel Cheng

A simple mortgage calculator that will output the monthly payment, the remaining balance, and so on. (mortgage, finance)

[P,In,Ba]=compute_mortgage(L,rate,years)

mortgage_example

Get stock option chains by ted teng

Get stock option chains. (option chain, stock, finance)

getOptionChainYQL(tickers)

getOptionChainYQLExample.m