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updated 3 hours ago

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)

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updated 5 hours 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 5 hours 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 5 hours 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 6 hours 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 6 hours 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 6 hours 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 2 days ago

Pairs Trading Strategy by tadeveloper

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

MATLAB pairs trading strategy

PairsTradingStrategy(sys)

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updated 13 days ago

Tornado Plot by Rick

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

Tornado.m

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updated 16 days ago

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)

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updated 1 month ago

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)

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updated 1 month ago

Technical Indicators by Nate Jensen

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

indicators(vin,mode,varargin)

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updated 1 month ago

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

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updated 1 month ago

Loan Calculator by Paul Metcalf

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

loan_optimization

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updated 1 month ago

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)

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updated 1 month ago

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)

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updated 1 month ago

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)

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updated 1 month ago

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)

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updated 1 month ago

N-Dimensional Trapezoidal integral by Mohammed Sadeq Al-Rawi

See title. (communications, biotech, image processing)

trapezoidal_rule_nd_integral(x, mat, N)

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updated 2 months ago

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

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updated 3 months ago

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)

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updated 3 months ago

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)

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updated 3 months ago

Shapley Portfolio Risk Decomposition by Hakan

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

ShapleyRiskDecomposition(C,w,createplot,names)

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updated 3 months ago

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)

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updated 3 months ago

Band Trading Strategy by tadeveloper

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

BandTrader(sys)

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updated 3 months ago

Variance Ratio Test by Anis Ben Hassen

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

varatio.m

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updated 3 months ago

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)

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updated 3 months ago

Generalized Hurst exponent by Tomaso Aste

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

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

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updated 3 months ago

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)

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updated 3 months ago

Black and Shcoles calculator by Hanan Kavitz

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

blscalculator(varargin)

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updated 4 months ago

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)

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updated 4 months ago

Trapezoidal Integration by Aravazhi Anbarasu

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

int_trapz(X,Ts)

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updated 4 months ago

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)

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updated 4 months ago

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)

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updated 5 months ago

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)

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updated 5 months ago

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)

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updated 6 months ago

Hurst Exponent Estimation by Vilen Abramov

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

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updated 6 months ago

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

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updated 7 months ago

Markowitz Efficient Frontier by Luca Beldi

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

EfficientFrontier( Assets , NumPoints, LongOnly)

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updated 7 months ago

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()

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updated 7 months ago

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

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

varargout...

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updated 7 months ago

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)

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updated 7 months ago

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

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updated 7 months ago

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

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updated 8 months ago

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)

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updated 8 months ago

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)

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updated 8 months ago

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)

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updated 8 months ago

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)

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updated 8 months ago

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

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updated 8 months ago

Get stock option chains by ted teng

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

getOptionChainYQL(tickers)

getOptionChainYQLExample.m

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