Navigating curves by Sri Krishnamurthy

Developing Scenario Analysis Applications using Interest Rate Curve Objects in MATLAB (finance, interest rate curves, simulation)

scenarioanalysis.m

getNewNelsonsiegelParams(oldParams, t)

getNewNelsonsiegelParamsN(oldParams, t,n)

Financial Seminar Demos by Ameya Deoras

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, portfolio var risk ma...)

PortVaRreturns.m

ProcessInst.m

ProcessInstBDT.m

Fitting Survival Probability Models by Gabo

Companion code for "Fitting Survival Probability Models" article. (default probability, credit risk, wilmott)

FittingSurvivalModels.m

genHazFun(t,b)

protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probfun...