Pricing and Calibration Framework (Object Oriented)

Version 1.0.0.0 (259 KB) von Kienitz Wetterau FinModelling
Object Oriented Framework for Pricing, Calibration and Hedging.
5.0
(3)
2,4K Downloads
Aktualisiert 25. Sep 2012

Lizenz anzeigen

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!

Zitieren als

Kienitz Wetterau FinModelling (2024). Pricing and Calibration Framework (Object Oriented) (https://www.mathworks.com/matlabcentral/fileexchange/38323-pricing-and-calibration-framework-object-oriented), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2012a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Framework_Pricing_Calibration_OO/

Framework_Pricing_Calibration_OO/@aae/

Framework_Pricing_Calibration_OO/@ape/

Framework_Pricing_Calibration_OO/@arpe/

Framework_Pricing_Calibration_OO/@batesmodel/

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/

Framework_Pricing_Calibration_OO/@equitymarket/

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 Veröffentlicht Versionshinweise
1.0.0.0