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)

Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator by Ahmos Sansom

Implementation of the Multi-Factor multi commodity forward curve simulator (finance, mathematics, optimization)

GetCov(x, y)

LnTestofSims(mySims, LastFC, volFN, Factors)

MultiFactorForwardCurveSimulator(nSims, Seed, historicalFor...

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)

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)

Technical Indicators by Nate Jensen

A single function that calculates 27 different technical indicators (technical indicators, modeling, analysis)

indicators(vin,mode,varargin)

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

One Rank Cuckoo Search (ORCS) algorithm by Ahmed Tawfik

An improved cuckoo search optimization algorithm. Well competent and easy to use. (algorithms, cuckoo search, evolutionary algorith...)

...

Ackley(x)

Griewank(x)

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. (arbitrage, finance, backtesting)

PairsTradingStrategy(sys)

MATLAB pairs trading strategy

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)

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

Technical Analysis Tool by Phil Goddard

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

axislocations_set(obj)

axislocations_store(obj)

bollingerul(data,period,nstd)

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)

N-Dimensional Trapezoidal integral by Mohammed Sadeq Al-Rawi

See title. (communications, biotech, image processing)

trapezoidal_rule_nd_integral(x, mat, N)

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)

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 (finance, statistics, signal processing)

[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. (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)

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)

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)

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)

RTviewer(varargin)

bloomRT(obj,event,Conn,ticker)

randomRT(obj,event,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)

ALLMORTGAGEF(varargin)

All Purpose Mortgage Calculator including mortgage schedule

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)