Asset-Liability Management using MATLAB (Code and App)

版本 1.0.1 (197.6 KB) 作者: MathWorks Quant Team
Learn how to use MATLAB to perform cash flow analysis, duration gap computation, and sensitivity analysis.
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更新时间 2019/4/25

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This code example shows how to perform tasks related to asset-liability management (ALM), including:
- Cash flow analysis (Part 1)
- Duration gap computation (Part 2a)
- Sensitivity analysis (Part 2b)

In this code example, you will also see how to incorporate interest rate trees (e.g., Black-Karasinski interest-rate tree) into ALM modeling. Such interest rate trees can be used to calculate the duration of financial instruments, duration gap, and net worth.

For the app deployment part, you may need to use MATLAB Compiler, MATLAB Compiler SDK, or other tools (depending on your deployment strategy).

引用格式

MathWorks Quant Team (2025). Asset-Liability Management using MATLAB (Code and App) (https://www.mathworks.com/matlabcentral/fileexchange/70144-asset-liability-management-using-matlab-code-and-app), MATLAB Central File Exchange. 检索时间: .

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版本 已发布 发行说明
1.0.1

1.01: Bug Fix on creating AlphaDates
1.0.0