Pricing and Calibration Framework (Object Oriented)

Version 1.0.0.0 (259 KB) by Kienitz Wetterau FinModelling
Object Oriented Framework for Pricing, Calibration and Hedging.
5.0
(3)
2.4K Downloads
Updated 25 Sep 2012

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We have set up an object oriented framework covering advanced models such as Heston, Bates, VG, NIG or stochastic volatility Levy models.
We have included the forward characteristic functions which makes it possible to calibrate to standard but also to forward start options with Lewis, Carr-Madan, BS Carr-Madan or Cosine methods.
All the stuff is object oriented and can be extended by the user.
All is described in our book!

Cite As

Kienitz Wetterau FinModelling (2026). Pricing and Calibration Framework (Object Oriented) (https://se.mathworks.com/matlabcentral/fileexchange/38323-pricing-and-calibration-framework-object-oriented), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Tags Add Tags

Framework_Pricing_Calibration_OO/

Framework_Pricing_Calibration_OO/@aae/

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Framework_Pricing_Calibration_OO/@arpe/

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Framework_Pricing_Calibration_OO/@batesmodelbuilder/

Framework_Pricing_Calibration_OO/@bsmodel/

Framework_Pricing_Calibration_OO/@bsmodelbuilder/

Framework_Pricing_Calibration_OO/@builder/

Framework_Pricing_Calibration_OO/@class1/

Framework_Pricing_Calibration_OO/@class2/

Framework_Pricing_Calibration_OO/@eqmarket/

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Framework_Pricing_Calibration_OO/@errorstrategy/

Framework_Pricing_Calibration_OO/@fftbase/

Framework_Pricing_Calibration_OO/@fftbs/

Framework_Pricing_Calibration_OO/@fftcm/

Framework_Pricing_Calibration_OO/@fftcos/

Framework_Pricing_Calibration_OO/@fftlewis/

Framework_Pricing_Calibration_OO/@funcdecorator/

Framework_Pricing_Calibration_OO/@funcdecorator1/

Framework_Pricing_Calibration_OO/@funcdecorator2/

Framework_Pricing_Calibration_OO/@funcdecorator3/

Framework_Pricing_Calibration_OO/@hestonmodel/

Framework_Pricing_Calibration_OO/@hestonmodelbuilder/

Framework_Pricing_Calibration_OO/@irmarket/

Framework_Pricing_Calibration_OO/@market/

Framework_Pricing_Calibration_OO/@marketbuilder/

Framework_Pricing_Calibration_OO/@marketbuilderdirector/

Framework_Pricing_Calibration_OO/@mjmodel/

Framework_Pricing_Calibration_OO/@mjmodelbuilder/

Framework_Pricing_Calibration_OO/@model/

Framework_Pricing_Calibration_OO/@modelbuilder/

Framework_Pricing_Calibration_OO/@modelbuilderdirector/

Framework_Pricing_Calibration_OO/@modelvisitor/

Framework_Pricing_Calibration_OO/@modelvisitor1/

Framework_Pricing_Calibration_OO/@modelvisitor2/

Framework_Pricing_Calibration_OO/@nigcirmodel/

Framework_Pricing_Calibration_OO/@nigcirmodelbuilder/

Framework_Pricing_Calibration_OO/@niggoumodel/

Framework_Pricing_Calibration_OO/@niggoumodelbuilder/

Framework_Pricing_Calibration_OO/@nigmodel/

Framework_Pricing_Calibration_OO/@nigmodelbuilder/

Framework_Pricing_Calibration_OO/@objectivefunc/

Framework_Pricing_Calibration_OO/@objectivefuncbase/

Framework_Pricing_Calibration_OO/@optde/

Framework_Pricing_Calibration_OO/@optfmincon/

Framework_Pricing_Calibration_OO/@optgeneticbase/

Framework_Pricing_Calibration_OO/@optionmarket/

Framework_Pricing_Calibration_OO/@optionmarketbuilder/

Framework_Pricing_Calibration_OO/@optlevmar/

Framework_Pricing_Calibration_OO/@optneldermead/

Framework_Pricing_Calibration_OO/@optsa/

Framework_Pricing_Calibration_OO/@optsqp/

Framework_Pricing_Calibration_OO/@rmse/

Framework_Pricing_Calibration_OO/@strategy/

Framework_Pricing_Calibration_OO/@strategytype/

Framework_Pricing_Calibration_OO/@strategytype1/

Framework_Pricing_Calibration_OO/@strategytype2/

Framework_Pricing_Calibration_OO/@vgcirmodel/

Framework_Pricing_Calibration_OO/@vgcirmodelbuilder/

Framework_Pricing_Calibration_OO/@vggoumodel/

Framework_Pricing_Calibration_OO/@vggoumodelbuilder/

Framework_Pricing_Calibration_OO/@vgmodel/

Framework_Pricing_Calibration_OO/@vgmodelbuilder/

Framework_Pricing_Calibration_OO/DeMat/

Framework_Pricing_Calibration_OO/SQP/

Version Published Release Notes
1.0.0.0