Pricing and Calibration Framework (Object Oriented)

Versión 1.0.0.0 (259 KB) por Kienitz Wetterau FinModelling
Object Oriented Framework for Pricing, Calibration and Hedging.
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Actualizado 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!

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2012a
Compatible con cualquier versión
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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/

Versión Publicado Notas de la versión
1.0.0.0