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MATLAB Derivatives Pricing

version (8.76 KB) by Matt McDonnell
Derivatives pricing based on 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi.

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Updated 17 Aug 2015

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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 (2021). MATLAB Derivatives Pricing (, GitHub. Retrieved .

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MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
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