Pricing and Calibration Framework (Object Oriented)

版本 1.0.0.0 (259.0 KB) 作者: Kienitz Wetterau FinModelling
Object Oriented Framework for Pricing, Calibration and Hedging.
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更新时间 2012/9/25

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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!

引用格式

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. 检索来源 .

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Framework_Pricing_Calibration_OO/

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Framework_Pricing_Calibration_OO/@arpe/

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Framework_Pricing_Calibration_OO/@bsmodel/

Framework_Pricing_Calibration_OO/@bsmodelbuilder/

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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/

版本 已发布 发行说明
1.0.0.0