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updated 1 year 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 1 year ago

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)

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updated 1 year ago

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

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

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

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updated 3 years ago

Heston Model Calibration and Simulation by Moeti Ncube

Calibrated the Heston Model to market Option prices (heston model, option pricing, calibration)

C=HestonCall(St,K,r,T,vt,kap,th,sig,rho,lda)

[cost]=costf2(x)

fj=CF_SVj(xt,vt,tau,mu,a,uj,bj,rho,sig,phi)

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updated 3 years ago

Fully Flexible Views and Stress-testing by Attilio Meucci

Full generalization of Black-Litterman and related techniques via entropy pooling (finance, modeling, analysis)

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

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updated 5 years ago

CDS pricer by Rogier Swierstra

This short routine calculates the mark-to-market price of a credit default swap. (finance, analysis, bloomberg)

cds_price(initDate, endDate, initSpread, curSpreads, disc...

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updated almost 8 years ago

Picking elements from a set by Stefan Stoll

Gives all possibilities of picking k elements from a set of N with/without order/repetition. (matrices, permutation, combination)

pick(V,k,Type)

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