3 results

Building and Extending Portfolio Optimization Models with MATLAB

Version 1.0.0.1

by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach

BLScript.m - The script BLScript.m is to support the Black-Litterman implementation

compareWeights( ExcessHistoricalReturns, ExcessImpliedReturns, sigma, mktCaps ) - compareWeights Helper function to compute and plot allocations

View(varargin) - VIEW MATLAB code for View.fig

Community

2.5K Downloads

Updated 1 Sep 2016

Approaches to implementing Monte Carlo methods in MATLAB

Version 1.1.0.1

by sri

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm

PriceArithmeticAsianOptionQuasi(S0,X,r,T,sigma,NSteps,NPaths,QuasiType) - Function to compute Arithmetic Asian Option price ; Using Quasi Random

Readme.m - The following files are MATLAB scripts that go with the article

PriceArithmeticAsianOptionFin(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using Financial

TimingScriptQuasi.m - Timing script to test scripts using Quasi Random numbers

PriceArithmeticAsianOptionSDEZ(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using SDE and

PriceArithmeticAsianOptionV(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Vectorized version

TimingScriptComparison.m - Timing script comparing looped and Vectorized

PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using Loops

PriceArithmeticAsianOptionSDEAntiThetic(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using SDE and

PriceArithmeticAsianOptionPCT(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using PCT

PriceArithmeticAsianOptionSDESolution(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using SDE and

TimingScriptSDE.m - Timing script to test time taken for scripts using different SDE

PriceArithmeticAsianOptionSDE(S0,X,r,T,sigma,NSteps,NPaths) - Function to compute Arithmetic Asian Option price ; Using SDE

Community

1.5K Downloads

Updated 1 Sep 2016

Navigating curves

Version 1.0.0.1

by sri

Developing Scenario Analysis Applications using Interest Rate Curve Objects in MATLAB

getRateScenariosN(NSModel,PlottingDates,n) - getRateScenarios Helper function that returns n rate scenarios

IRFunctionCurve2 - LOCCONVERT Converts compounding and day count conventions

getNewNelsonsiegelParamsN(oldParams, t,n) - getNewNelsonsiegelParams Helper function that returns new NelsonSeigel

getNewNelsonsiegelParams(oldParams, t) - getNewNelsonsiegelParams Helper function that returns new NelsonSeigel

getNewZeroRates( NSModel,params,PlottingDates )

getRateScenarios(NSModel,PlottingDates,n) - getRateScenarios Helper function that returns n rate scenarios

pctdemo_helper_getDefaults() - PCTDEMO_HELPER_GETDEFAULTS Process the settings in PARALLELDEMOCONFIG.

scenarioanalysis.m - Scenario Analysis demo to accompany the article "Navigating curves"

Community

476 Downloads

Updated 1 Sep 2016

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3 results

Building and Extending Portfolio Optimization Models with MATLAB

Approaches to implementing Monte Carlo methods in MATLAB

Navigating curves