MATLAB Derivatives Pricing
버전 1.0.0.0 (8.76 KB) 작성자:
Matt McDonnell
Derivatives pricing based on 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi.
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.
인용 양식
Matt McDonnell (2024). MATLAB Derivatives Pricing (https://github.com/mattmcd/mdpr), GitHub. 검색됨 .
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버전 | 게시됨 | 릴리스 정보 | |
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1.0.0.0 |
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