FinMetrics is MATLAB based, open source quantitative portfolio management environment. Built on concepts of bottom-up approach to application design, it allows users to define most basic, low level building blocks, e.g. assets and transactions, to be further pieced together in a higher level objects, e.g. positions or portfolios. Data analysis and statistics function, implemented within the environment and native to MATLAB, enable users to conduct scenario analysis, stress testing, performance measurement and attribution, risk measurement and attribution, design hedge strategies, etc. Open architecture of the environment allows users to work with objects of any level, depending on their requirements and expertise. The object structure and data types are specifically designed to make integration with MATLAB and native FinMetrics functions as easy as possible. FinMetrics user interface application and MATLAB scripting may be utilized to facilitate or automate complex and repetitive tasks, as well as extend functionality of the environment.
Create scripts with code, output, and formatted text in a single executable document.