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File50487.zip %5bfinancial Instruments Toolbox Matlab

A financial derivative is a contract that specifies how payments or financial assets are exchanged between two parties based on the value of an underlying financial asset. You can price and analyze individual and portfolios of equity, credit, and fixed-income derivatives using MATLAB ®. You can use the toolbox to compute prices. MFE Toolbox The Oxford MFE Toolbox is the follow on to the UCSDGARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines. Instrument Control Toolbox™ lets you connect MATLAB ® directly to instruments such as oscilloscopes, function generators, signal analyzers, power supplies, and analytical instruments. The toolbox connects to your instruments via instrument drivers such as IVI and VXIplug&play or via text-based SCPI commands over commonly used communication protocols such as GPIB, VISA, TCP/IP, and UDP. The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. The Financial Instruments Toolbox™ provides additional functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different type of interest-rate curves. The toolbox enables you to estimate risk, model credit scorecards, analyze yield curves, price fixed-income instruments and European options, and measure investment performance. Stochastic differential equation (SDE) tools let you model and simulate a variety of stochastic processes.

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Pricer type, specified as a scalar string or character vector.

These options are available for interest-rate instruments:

  • 'Discount' — For more information, see Discount.

  • 'IRTree' — For more information, see IRTree.

  • 'HullWhite' — For more information, see HullWhite.

  • 'Analytic' — The 'Analytic' pricer can be any one of the following types of pricing methods:

    • SABR — For more information, see SABR.

    • Normal — For more information, see Normal.

    • Black — For more information, see Black.

These options are available for inflation instruments:

  • 'Inflation' — For more information, see Inflation.

These options are available for equity instruments:

  • 'Analytic' — The 'Analytic' pricer can be any one of the following types of pricing methods:

    • BlackScholes — For more information, see BlackScholes.

    • IkedaKunitomo — For more information, see IkedaKunitomo.

    • Heston — For more information, see Heston.

    • Levy — For more information, see Levy.

    • KemnaVorst — For more information, see KemnaVorst.

    • TurnbullWakeman — For more information, see TurnbullWakeman.

    • ConzeViswanathan — For more information, see ConzeViswanathan.

    • GoldmanSosinGatto — For more information, see GoldmanSosinGatto.

    • RollGeskeWhaley — For more information, see RollGeskeWhaley.

    • Kirk — For more information, see Kirk.

    • BjerksundStensland — For more information, see BjerksundStensland.

  • 'AssetTree' — For more information, see AssetTree.

  • 'AssetMonteCarlo' — For more information, see AssetMonteCarlo.

  • 'FiniteDifference' — For more information, see FiniteDifference.

  • 'FFT' — For more information, see FFT.

  • 'NumericalIntegration' — For more information, see NumericalIntegration.

  • 'VannaVolga' — For more information, see VannaVolga.

  • 'ReplicatingVarianceSwap' — For more information, see ReplicatingVarianceSwap.

These options are available for credit derivative instruments:

Matlab

  • 'Credit' — For more information, see Credit.

  • 'Analytic' — The 'Analytic' pricer can be any one of the following types of pricing methods:

Data Types: string | char

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: Pricer = finpricer('Black',Name,Value)

Depending on the PricerType, the associated name-value pair arguments are different.

Name-Value Pair Arguments for Interest-Rate Pricers

  • IRTree — For more information, see .

  • Black — For more information, see .

  • HullWhite — For more information, see .

  • Normal — For more information, see .

  • Sabr — For more information, see .

  • Discount — For more information, see .

Name-Value Pair Arguments for Inflation Pricers
Name-Value Pair Arguments for Equity Pricers

  • Levy — For more information, see .

  • KemnaVorst — For more information, see .

  • TurnbullWakeman — For more information, see .

  • BlackScholes — For more information, see .

  • IkedaKunitomo — For more information, see .

  • Heston — For more information, see .

  • ConzeViswanathan — For more information, see .

  • GoldmanSosinGatto — For more information, see .

  • RollGeskeWhaley — For more information, see .

  • Kirk — For more information, see .

  • BjerksundStensland — For more information, see .

  • AssetMonteCarlo — For more information, see .

  • AssetTree — For more information, see .

  • FiniteDifference — For more information, see .

  • FFT — For more information, see .

  • NumericalIntegration — For more information, see .

  • VannaVolga — For more information, see .

  • ReplicatingVarianceSwap — For more information, see .

Name-Value Pair Arguments for Credit Derivative Pricers

  • Credit — For more information, see .

  • CDSBlack — For more information, see .

What is MATLAB?

The MATLAB high-performance language for technical computing integrates computation, visualization, and programming in an easy-to-use environment where problems and solutions are expressed in familiar mathematical notation.

MATLAB Availability

University of Virginia has recently upgraded our Matlab license so that Matlab is available to everyone at UVa. There is one version of Matlab for students, faculty, and staff. MATLAB is available on the Windows, Mac OSX, and Linux platforms. To get started go to the UVa Software GatewayMatlab can be found under the Data Analysis & Research grouping.

The Campus Wide License configuration now includes all 100+ MathWorks products and 2 major services that were paid options in the past. To better reflect the new configuration they have re-named the license option to Campus Wide Suite (CWS). We will gain access to: 100+ of our software products vs. the 53 and MATLAB Grader LMS integration subscription.

Toolboxes are unlimited, and are as follows:

  • MATLAB
  • Simulink
  • 5G Toolbox
  • AUTOSAR Blockset
  • Aerospace Blockset
  • Aerospace Toolbox
  • Antenna Toolbox
  • Audio Toolbox
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  • DSP System Toolbox
  • Data Acquisition Toolbox
  • Database Toolbox
  • Datafeed Toolbox
  • Deep Learning Toolbox
  • Econometrics Toolbox
  • Embedded Coder
  • Filter Design HDL Coder
  • Financial Instruments Toolbox
  • Financial Toolbox
  • Fixed-Point Designer
  • Fuzzy Logic Toolbox
  • GPU Coder
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  • Image Acquisition Toolbox
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  • LTE Toolbox
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  • Spreadsheet Link
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  • Statistics and Machine Learning Toolbox
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  • Trading Toolbox
  • Vehicle Dynamics Blockset
  • Vehicle Network Toolbox
  • Vision HDL Toolbox
  • WLAN Toolbox
  • Wavelet Toolbox
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Deployment for Individuals

The Individual license should be used by students, faculty, and staff to download an individual stand-alone copy of the software for each of the machines on which they are the sole MATLAB user (includes university-owned and personal machines).The MATLAB Portal is where end users can download MATLAB, get free training, contact support, and discover additional resources.

  1. Read the DATA PROTECTION SECTION, below
  2. When you get to the MATLAB Portal select ‘Sign in to get started’ under the Get MATLAB and Simulink
  3. Log into your MathWorks account that is associated to your University license. (Note – you will be asked to login using NetBadge and your UVa credentials).
  4. Click the download button for the current release. (Users can also download previous releases here).
  5. Choose a supported platform and download the installer
  6. Run the installer.
  7. In the installer, select Log in with a MathWorks Account and follow the online
  8. When prompted to do so, select the Academic – Total Headcount license labeled Individual.
  9. Select the products you want to download and
  10. After downloading and installing your products, keep the Activate MATLAB checkbox selected and click Next.Follow the prompts to activate
  11. *Note– Detailed installation instructions can be also found in the link below: How do I install MATLAB? https://www.mathworks.com/matlabcentral/answers/98886

License Renewal for Campus and Individual Licenses:

  1. Open MATLAB (If the license has already expired the activation client will launch and you can skip the next step)
  2. Navigate to Help Menu and select Licensing
  3. Click on Activate Software
  4. Choose to Activate using Internet
  5. Once reactivated you will need to restart MATLAB before the new license file is recognized If the installation has already expired, you will be prompted to activate when attempting to launch MATLAB. As long as the activation finishes successfully it will roll over to the new license file once the old one expires. You might continue to see the expiration warning in MATLAB until the old file expires.

Data Protection

MathWorks Cloud Services, to include MATLAB Online and MATLAB Drive, is acceptable for the storage of moderately sensitive, internal-use, and public data as defined by the University Data Protection Standards. Mathworks Cloud Services is not appropriate for the storage of data that is classified as highly sensitive such as identified Personal Health Information (PHI) or bank account numbers.

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Furthermore, the following data types are specifically prohibited from storage in MathWorks Cloud Services: export controlled data (e.g., ITAR), data covered by FISMA, DFARS 252.204-7012, and Controlled Unclassified Information (CUI). MathWorks Cloud Services is not configured to meet the controls required for these types of data. You are responsible for ensuring that MathWorks Cloud Services is an appropriate environment for the data you store. Guidance regarding these guidelines and data classifications is available from UVA Information Security by emailing it-policy@virginia.edu.

Learning to use Matlab

Everyone at UVa has access to the entire Matlab Academy, which is a suite of on-line self-paced courses. They can be accessed on the Matlab Portal under “Get Free Access to On-Line Courses”.

We have access to MATLAB Academic Online Training Suite (MAOTS).

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ALL of the courses found at https://matlabacademy.mathworks.com/

Faculty and students can continue to install and use MathWorks software on any university owned machine or personally owned machine without any limitations.

As a Campus Wide License customer everyone has free access to MATLAB Online, MATLAB Drive, MATLAB Grader, and the Onramp tutorials – all are cloud-based tools for instruction.

MATLAB Online – https://www.mathworks.com/products/matlab-online.html

  • Access MATLAB from any web browser
  • Includes use of MATLAB Drive – https://www.mathworks.com/products/matlab-drive.html

MATLAB Grader – https://www.mathworks.com/products/matlab-grader.html

  • Student assignments – use the existing problem sets or create your own
  • Autograding and immediate feedback to learners
  • Instructors can contact me to request access to the problem set library

Training classes and onramp tutorials – https://matlabacademy.mathworks.com/

  • Access from any web browser, live feedback for improved learning outcomes
  • 5 Onramps, 4 Core MATLAB, 2 Data Science, 5 Computational Math – 80+ hours of content

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All of these can be accessed via the UVA MathWorks portal: www.mathworks.com/academia/tah-portal/university-of-virginia-40704757.html

If faculty are unfamiliar with MATLAB Online, this short Onramp (Teaching with MATLAB) will help them get up to speed on using these resources: https://www.mathworks.com/learn/teaching-with-matlab.html

Live Editor – a notebook interface within MATLAB – can be used to create and share engaging lecture material that combines explanatory text, mathematical equations, code, and results.

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Getting Started

  • MATLAB Onramp: Get started quickly with the basics of MATLAB
  • Deep Learning Onramp: Get started quickly using deep learning methods to perform image recognition.
  • MATLAB for Data Processing and Visualization: Create custom visualizations and automate your data analysis tasks
  • MATLAB Programming Techniques:Improve the robustness, flexibility, and efficiency of your MATLAB code
  • MATLAB for Financial Applications: Learn MATLAB for financial data analysis and modeling
  • Solving Nonlinear Equations with MATLAB: Use root finding methods to solve nonlinear equations
  • Solving Ordinary Differential Equations with MATLAB: Use MATLAB ODE solvers to numerically solve ordinary differential equations
  • Introduction to Linear Algebra with MATLAB: Use matrix methods to solve systems of linear equations and perform eigenvalue decomposition
  • Introduction to Statistical Methods with MATLAB: Get started quickly with basic descriptive statistics and data fitting

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If you have questions or need assistance, please email Research Software Support at res-consult@virginia.edu.

If you experience trouble installing or connecting to the Matlab installation service contact MathWorks technical support contact information at 508-647-7000 option 3 or send email to support@mathworks.com.