MATLAB Derivatives Pricing
version 1.0.0.0 (8.76 KB) by
Matt McDonnell
Derivatives pricing based on 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi.
A MATLAB version of derivatives pricing based on C++ Design Patterns and Derivatives Pricing by Mark Joshi.
This implementation makes use of Dependency Injection for constructing the pricing application. The Chebfun library is used for pricing some vanilla options as an example of how different pricing engines may be plugged in to the application.
Cite As
Matt McDonnell (2022). MATLAB Derivatives Pricing (https://github.com/mattmcd/mdpr), GitHub. Retrieved .
MATLAB Release Compatibility
Created with
R2015a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
Tags
Acknowledgements
Inspired by: Chebfun - current version, MATLAB Dependency Injection
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+mdpr
+mdpr/+demo
+mdpr/+engine
+mdpr/+option
+mdpr/+payoff
+mdpr/+test/+accept
To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.
