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)

Previous Working Day by Jennifer GALPERIN

Retrieves the previous working day for a given date and holiday schedule. (trading, options, dates)

previousWorkday( hDate,holidaySchedule )

Options Expiration Friday Date Calculator by Jennifer GALPERIN

Calculates the date in a given month that options will expire (Friday). (finance, trading, options)

getExpiryFri( month )

Historical Earnings Data by Ticker Symbol by Jennifer GALPERIN

This function gets historical company earnings data for a particular ticker symbol. (finance, stock, earnings)

scrapeEarningsZacks( Stock )

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(DVN,varargin)

ISO 8601 Date String to Serial Date Number by Stephen Cobeldick

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

datenum8601(str,tok)

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

Yahoo Finance Time Series Analysis Tool

The Bullwhip effect simulated in Matlab Environment by stelios ploumpis

A simulated script that allow anyone to understand the bullwhip effect through a basic supply chain. (finance, simulation, modelling)

BullWhip_effect.m

rules.m

Realtime trading with Matlab presentation files by Yair Altman

Realtime trading demo & presentation, presented at NYC Computational Finance Conference 23 May 2013 (finance, gui, data import)

findjobj(container,varargin)

tradingDemo

uisplitpane(varargin)

TSM-simulation by Anders

A strategy simulation of time-series price momentum. (finance)

Hypothesis testing the momentum anomaly.m

TSM-simulation.m

Merton Jump Diffusion Option Price (Matrixwise) by Mark Whirdy

Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface (merton, options, finance)

calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n)

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, structural model, structural credit mod...)

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

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 )

Building and Extending Portfolio Optimization Models with MATLAB by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRetur...

PortfolioBL

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...

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. (arbitrage, finance, backtesting)

MATLAB pairs trading strategy

PairsTradingStrategy(sys)

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)

Loan Calculator by Paul Metcalf

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

loan_optimization

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)

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)

Band Trading Strategy by tadeveloper

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

BandTrader(sys)

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)

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. (trading, data, finance)

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)

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)

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, power law, risk weighted assets)

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)

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

Get stock option chains by ted teng

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

getOptionChainYQL(tickers)

getOptionChainYQLExample.m

FX Forward by Vilen Abramov

This file replicates cross-currency forward pricing using covered interest parity (CIP) (forex, forward, arbitrage)

fxforward

Hazard Rate Bootstrapping by Vilen Abramov

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. (cds, bootstrapping, hazard)

hazard

Historical Stock Data Download (alternate Method) by Captain Awesome

Retrieves historical stock data from Yahoo Finance by parsing html pages instead of .csv download. (finance)

get_yahoo_stockdata2.m

MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION by Kamil Kladivko

Maximum Likelihood Estimation of the Cox-Ingersoll-Ross process in Matlab (finance, maximum likelihood, interest rate modelin...)

CIRestimation(Model)

CIRobjective1(Params, Model)

CIRobjective2(Params, Model)

Estimation of Nelson-Siegel and Svensson Models by Kamil Kladivko

Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model. (interpolation, nelson siegel, yield curve)

NScurve(Params, Tau, Model)

NSerror.m

NSest(Bonds, ShortRates, Model, Optimization)

Text summarization tool by Bilwaj Gaonkar

Summarization of large amount of text into small summaries (natural language proc..., statistics, finance)

text_summarizer.m

FinancialModelling_Ch2_ImpliedVolatility by Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models (finance, implied volatility, levy)

CallPricingFFT(model,S,K,T,r,d,varargin)

CallPricingFFT2(model,S,K,T,r,d,varargin)

CharacteristicFunctionLib(model,u,lnS,T,r,d,varargin)

Black and Scholes formula - European options on dividend paying stocks by Lorenzo Brancali

This code computes the price of a Call and a Put option on dividend paying stocks (black scholes, options, dividend)

BS(S,K,sigma,tau,r,D)

Sortino Ratio by Lorenzo Brancali

This file calculates the Sortino ratio of an investment asset, portfolio or strategy. (sortino ratio, downside deviation, sortino)

sortino(R, MAR)

EWMA St.Dev. by Lorenzo Brancali

This code calculates the Exponentially Weighted Moving Average Standard Deviation (ewma, finance, standard deviation)

Y=EWMASTD(X,d)

A very simple random integer generator using rand(). by sunil anandatheertha

A very simple random integer generator using rand(). (aerospace, mathematics, statistics)

randint(i1,i2)

Weighted Data Binning [wbin] by Michael Lindholm Nielsen

Weighted data binning. (weighted data binning, data binning, time series)

wbin(X, Y, E, DX)

Random Number Generation by Aamir Alaud-din

Random integers (positive as well as negative) can be generated. (demo, finance, mathematics)

rng(ll,ul,m,n)