Interest Rate and Inflation Modelling in MATLAB
Overview
Curve building is the bedrock of financial systems. From changes to OIS and LIBOR fallback to large market shifts putting inflation in the spotlight MATLAB has functionality to help you. The object-oriented approach to pricing is used for these curves and for best fit methods. In addition, we will demonstrate app-based functionality for scenario analysis of rate risk.
Highlights
- Bootstrapping ratecurve and inflationcurve objects
- Best fit methods
- App-based scenario analysis
About the Presenter
Tim Clunan, MathWorks, Application Engineer
Tim cut his teeth as a quant in a London bank post credit crisis. He worked in this capacity first in Risk and then in Front Office. He now draws on this experience to guide MathWorks finance customers in making the most of their software.
Product Focus
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