MATLAB Derivatives Pricing
A MATLAB version of derivatives pricing based on C++ Design Patterns and Derivatives Pricing by Mark Joshi.
This implementation makes use of Dependency Injection for constructing the pricing application. The Chebfun library is used for pricing some vanilla options as an example of how different pricing engines may be plugged in to the application.
Cita come
Matt McDonnell (2024). MATLAB Derivatives Pricing (https://github.com/mattmcd/mdpr), GitHub. Recuperato .
Compatibilità della release di MATLAB
Compatibilità della piattaforma
Windows macOS LinuxCategorie
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
Tag
Riconoscimenti
Ispirato da: Chebfun - current version, MATLAB Dependency Injection
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+mdpr
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Versione | Pubblicato | Note della release | |
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1.0.0.0 |
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