Counterparty Credit Risk and CVA
Compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest rate swaps with several counterparties. CVA is the expected loss on an over-the-counter contract or portfolio of contracts due to counterparty default. The CVA for a particular counterparty is defined as the sum over all points in time of…
Perform basic peak analysis. It will help you answer questions such as: How do I find peaks in my signal? How do I measure distance between peaks? How do I measure the amplitude of peaks of a signal which is affected by a trend? How do I find peaks in a noisy signal? How do I find local minima?
Measuring Signal Similarities
Measure signal similarities. It will help you answer questions such as: How do I compare signals with different lengths or different sampling rates? How do I find if there is a signal or just noise in a measurement? Are two signals related? How to measure a delay between two signals (and how do I align them)? How do I compare the frequency content of two signals?…
Using the Kalman Filter to Estimate and Forecast the Diebold-Li Yield Curve Model
In the aftermath of the financial crisis of 2008, additional solvency regulations have been imposed on many financial firms, placing greater emphasis on the market valuation and accounting of liabilities. Many firms, notably insurance companies and pension funds, write annuity contracts and incur long-term liabilities that call for sophisticated approaches to model and forecast yield curves.
This product allows users to interactively design a tabular expression. The resusulting function can be saved as a Simulink block or to a Matlab m-file. Tabular Expressions can be proved to be disjoint and complete using the PVS theorem prover. This allows users to ensure that the table they are designing has covered all possible inputs and is deterministic.
Demo file for batchpleas.m
batchpleas is a wrapper for lsqnonlin, allowing it to solve many small problems (all with the same parameterization) in one batched, partitioned nonlinear least squares estimation. This takes advantage of economies of scale, so as to gain a higher throughput overall. The gain can be dramatic.
Computational cost for Cramer's rule
There are plenty of direct and iterative methods to solve a linear algebraic system of equations. Using Cramer's rule, one can easily obtain the solution for small systems by hand. However, with the growth of the unknowns, the method becomes computationally very expensive. Moreover, calculating a determinant by its definition may result in overflow or underflow if someone wanted to apply it on a computer. That is why Cramer's algorithm is not applied in computations.
Single Hydraulic Cylinder Simulation
This example shows how to use Simulink® to model a hydraulic cylinder. You can apply these concepts to applications where you need to model hydraulic behavior. See two related examples that use the same basic components: four cylinder model and two cylinder model with load constraints.
Modeling a Fault-Tolerant Fuel Control System
This example shows how to combine Stateflow® with Simulink® to efficiently model hybrid systems. This type of modeling is particularly useful for systems that have numerous possible operational modes based on discrete events. Traditional signal flow is handled in Simulink while changes in control configuration are implemented in Stateflow. The model described below represents a fuel control system for a gasoline engine. The system is highly robust in that individual sensor failures are detected and the cont
Modeling an Automatic Transmission Controller
This example shows how to model an automotive drivetrain with Simulink®. Stateflow® enhances the Simulink model with its representation of the transmission control logic. Simulink provides a powerful environment for the modeling and simulation of dynamic systems and processes. In many systems, though, supervisory functions like changing modes or invoking new gain schedules must respond to events that may occur and conditions that develop over time. As a result, the environment requires a language capable of