Archive of Finance & Econometrics Matlab Code

Currently my Gauss archive is much more extensive and is located at: http://www.cameronrookley.com/gcode.htm

The programs below represent a small sample of Gauss programs translated to matlab using the GTOML perl script. For comparison purposes, in each case both the original Gauss code and new Matlab code is provided.

• Gauss:genoptfit.g & genoptfit.dec Matlab:genoptfit.m & genoptfitd.m Procedures and necessary declaration files to calculate fitted option prices using Fourier Inversion methods as in Bates (RFS 1996). This allows for a variety of possible risk neutral diffusions which can accommodate stochastic volatility, jumps, as well as correlation between the volatility process and underlying asset.

• Gauss:ameriv.g& ameriv.dec Matlab:ameriv.m& amerivd.m Procedure and necessary declaration file to calculate implied volatilities of a set of AMERICAN option quotes using a Newton Raphson type Method, and an analytical approx. to American option prices as in Barone-Adesi and Whaley.
• Gauss:euriv.g Matlab:euriv.m Procedure to calculate implied volatilities of a set of European option quotes using a Newton Raphson type Method. (See ameriv.g above for American equivalent)
• Gauss:amerval.g & amerval.dec Matlab:amerval.m & amervald.m Procedure and necessary declaration file to price American put or call options using analytical approximations as in Barone-Adesi and Whaley see also: ameriv.g above
• Gauss:bsval.g Matlab:bsval.m Procedure to obtain Generalized Black Scholes prices allowing for a variety of cost-of-carry scenarios, and implied volatility values which can be "smile" dependent.
• Gauss:yldtomat.g Matlab:yldtomat.m Procedure to calculate yields to maturities given vectors of cash flow characteristics, using a Newton-Raphson type method.

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