Software Listing of Author : "Dimitri Shvorob"

The code may help one think about the technical requirements that a real trading system has to meet.

  • Platform: Matlab, Scripts

The submission presents (almost complete) hourly download statistics for all FEX submissions and contributors over the week of November 16-22, 2007.

  • Platform: Matlab, Scripts

Function BSTRAP computes values of user-defined scalar-, vector- or matrix-valued statistics in the original sample

  • Platform: Matlab, Scripts

Function BSTRAG builds on an earlier FEX submission, BSTRAP - itself an extension of BOOTSTRP (Statistics Toolbox, v. 5-6) - by implementing 'groupwise'

  • Platform: Matlab, Scripts

Included m-files offer two closely related applications of companion File Exchange submission BSTRAP

  • Platform: Matlab, Scripts

unctions CPRPSA and SMMPSA compute PSA-benchmarked conditional prepayment and single month mortality rates.

  • Platform: Matlab, Scripts

Function BONDITO (don't ask :)) computes allocation of zero-coupon bonds of selected maturities, optimal given current yields and a forecast of yield changes

  • Platform: Matlab, Scripts

Please see CFEVALDEMO1, by following link 'Published m-files' below.

  • Platform: Matlab, Scripts

Functions NELSONFUN and NELSONFIT evaluate and fit (with non-linear least-squares) the Nelson-Siegel function, a popular yield-curve approximation device.

  • Platform: Matlab, Scripts

Function JKNIFE computes values of user-defined scalar-, vector- or matrix-valued statistics in the original sample, and in n leave-one-out samples, where n is the number of rows in X

  • Platform: Matlab, Scripts

Please see PORTOPTGADS, by following link 'Published m-files' below

  • Platform: Matlab, Scripts

CFEVALDEMO2 illustrates how CFEVAL (available from FEX) can be used to model a mortgage, a mortgage passthrough, or a collateralized mortgage obligation

  • Platform: Matlab, Scripts

Function PAGE computes the value of Page test statistic for layout matrix x

  • Platform: Matlab, Scripts

Function HISTF ('flexible histogram') extends Matlab's HIST by letting one bound displayed percentiles

  • Platform: Matlab, Scripts

Function CIRPATH simulates a discretely-sampled path of a Cox-Ingersoll-Ross process

  • Platform: Matlab, Scripts

The submission considers first-order exponential-decay Hawkes processes with constant unconditional intensities, and presents

  • Platform: Matlab, Scripts

Attached report presents a brief overview of Excel Link.

  • Platform: Matlab, Scripts

Function HEDGEDEMO aims to help students and instructors of finance visualize trading demands of simple static or dynamic value-hedging strategies

  • Platform: Matlab, Scripts

Function BUTTERFLY (named after the strategy shown on the screenshot) aims to help students and instructors of finance visualize payoffs of simple option strategies

  • Platform: Matlab, Scripts

Please see SPYDEMO, by following link 'Published m-files' below.

  • Platform: Matlab, Scripts

Function WINSOR inputs data vector x and 2*1 vector of cut-off percentiles p, and replaces non-NaN values of x that are below percentile p(1) with the smallest remaining value

  • Platform: Matlab, Scripts
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