./PaxHeaders.10530/financial-0.5.00000644000000000000000000000013212653547023013254 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.890291909 30 ctime=1454296595.890291909 financial-0.5.0/0000755000175000017500000000000012653547023015167 5ustar00pazimzadpazimzad00000000000000financial-0.5.0/PaxHeaders.10530/inst0000644000000000000000000000013212653547023014074 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.890291909 30 ctime=1454296595.890291909 financial-0.5.0/inst/0000755000175000017500000000000012653547023016144 5ustar00pazimzadpazimzad00000000000000financial-0.5.0/inst/PaxHeaders.10530/blsvega.m0000644000000000000000000000013212653547023015752 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blsvega.m0000644000175000017500000000470112653547023017747 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{Vega} =} blsvega (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {@var{Vega} =} blsvega (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Computes the Black-Scholes vega. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the Black-Scholes vega, the rate of change of the option value with ## respect to the volatility of the underlying asset. ## ## @seealso{blsdelta, blsgamma, blslambda, blsprice, blsrho, blstheta} ## @end deftypefn function Vega = blsvega (Price, Strike, Rate, Time, Volatility, Yield = 0) if (nargin < 5 || nargin > 6) print_usage (); endif blscheck ("blsvega", Price, Strike, Rate, Time, Volatility, Yield); sqrtT = sqrt (Time); d1 = 1 ./ (Volatility .* sqrtT) .* (log (Price ./ Strike) + ... (Rate - Yield + Volatility.^2 / 2) .* Time); Vega = Price .* exp (-Yield .* Time) .* normpdf (d1) .* sqrtT; endfunction ## Tests %!test %assert (blsvega(90:10:110, 100, 0.04, 1, 0.2, 0.01), [34.2115 38.2821 33.3682], 1e-4) ## Test input validation %!error blsvega () %!error blsvega (1) %!error blsvega (1, 2) %!error blsvega (1, 2, 3) %!error blsvega (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/hour.m0000644000000000000000000000013212653547023015304 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/hour.m0000644000175000017500000000275112653547023017304 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2013 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} hour (@var{date}) ## @deftypefnx {Function File} {} hour (@var{date}, @var{f}) ## Return hours of a date. ## ## For a given @var{date} in a serial date number or date string format, ## returns its hours. The optional variable @var{f}, specifies the ## format string used to interpret date strings. ## ## @seealso{date, datevec, now, minute, second} ## @end deftypefn function t = hour (varargin) if (nargin < 1 || nargin > 2) print_usage (); elseif (nargin >= 2 && ! ischar (varargin{2})) error ("hour: F must be a string"); endif t = datevec (varargin{:})(:,4); endfunction %!assert (hour (451482.906781456), 21) %!assert (hour ("1967-09-21 11:56:34", "yyyy-mm-dd HH:MM:SS"), 11) financial-0.5.0/inst/PaxHeaders.10530/holidays.m0000644000000000000000000000013212653547023016143 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/holidays.m0000644000175000017500000005042312653547023020142 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2012 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{h} =} holidays ## @deftypefnx {Function File} {@var{h} =} holidays (@var{startdate}, @var{enddate}) ## List holidays and non-trading days. ## ## Returns vector @var{h} of all holidays and non-trading days between ## @var{startdate} and @var{enddate}, inclusive. Output dates are in the serial ## day number format. Any date format accepted by @code{datevec} can be used. ## If called with no input arguments, returns all holidays between the 1st of ## January of 1885 and 31st of December of 2050. ## ## For example, to get all holidays for 2007 (02-Jan-2007 was mourning day of ## Gerald Ford. See below for comments on such special occasions): ## @group ## @example ## holidays ("jan 01 2007", "dec 31 2007") ## @result{} 733043 ## 733044 ## 733057 ## 733092 ## 733138 ## 733190 ## 733227 ## 733288 ## 733368 ## 733401 ## @end example ## @end group ## ## For ease of read, the output of @code{holidays} can be passed to ## @code{datestr}. Also, the function @code{now} can be used to list all dates ## until current date. ## @group ## @example ## datestr (holidays ("may 01 2012", now)) ## @result{} 28-May-2012 ## 04-Jul-2012 ## 03-Sep-2012 ## @end example ## @end group ## ## These holidays are trading holidays observed by the NYSE according to its ## rule 51.10. It also tries to take into account the exceptions due to "unusual ## business conditions" or for additional days that have been called as holidays ## for one-time purposes. However, as these are unpredictable by nature only the ## ones until 2011/02/01 have been listed. ## ## The complete list can be found at ## http://www.chronos-st.org/NYSE_Observed_Holidays-1885-Present.html ## ## @seealso{busdate, lbusdate, isbusday, fbusdate} ## @end deftypefn ## XXX when editiong this function, keep the list of unusual holidays up to date. ## For example, the following dates should be listed but cannot be guessed: ## * Tue, 02 Jan 2007: DayOfMourning-GeraldFord ## * Tue, 11 Sep 2001: WorldTradeCenterEvent ## * Wed, 12 Sep 2001: WorldTradeCenterEvent ## * Thu, 13 Sep 2001: WorldTradeCenterEvent ## * Fri, 14 Sep 2001: WorldTradeCenterEvent ## ## The following makes it easier to check dates: ## datestr (holidays ("jan 01 2011", now)) ## ## Just google for the closing dates of NYSE and see if it's up to date. This ## link may, or may not, be up to date http://www.nyse.com/pdfs/closings.pdf ## Please update help text when rechecking this. function hol = holidays (sd, ed) if (nargin != 0 && nargin != 2) print_usage; endif ## list of all holidays between jan 1 1885 and dec 31 2050 ## 688484 = datenum (1885, 1, 1); 749113 = datenum (2050, 12, 31); sd_hol = 688484; ed_hol = 749113; hol = [688484; 688537; 688576; 688790; 688813; 688842; 688849; 688901; 688961; 688999; 689034; 689154; 689177; 689266; 689311; 689363; 689398; 689461; 689525; 689541; 689573; 689580; 689631; 689650; 689651; 689668; 689729; 689764; 689825; 689889; 689912; 689913; 689938; 689945; 689997; 690053; 690063; 690064; 690065; 690094; 690129; 690189; 690253; 690276; 690303; 690310; 690403; 690459; 690494; 690553; 690617; 690640; 690668; 690675; 690728; 690760; 690924; 690981; 691004; 691033; 691040; 691092; 691145; 691190; 691225; 691288; 691325; 691334; 691352; 691368; 691400; 691407; 691458; 691502; 691522; 691555; 691590; 691652; 691716; 691739; 691764; 691771; 691823; 691852; 691920; 691955; 692016; 692080; 692103; 692129; 692136; 692188; 692237; 692285; 692320; 692380; 692444; 692467; 692494; 692501; 692543; 692594; 692751; 692808; 692831; 692860; 692867; 692909; 692919; 692972; 692983; 693017; 693052; 693115; 693172; 693195; 693284; 693355; 693381; 693416; 693479; 693543; 693559; 693591; 693598; 693640; 693649; 693686; 693745; 693746; 693780; 693781; 693843; 693868; 693907; 693930; 693955; 693962; 694004; 694014; 694064; 694111; 694146; 694207; 694271; 694294; 694319; 694320; 694327; 694369; 694379; 694421; 694476; 694511; 694512; 694571; 694588; 694635; 694658; 694685; 694692; 694734; 694778; 694841; 694876; 694935; 694999; 695022; 695050; 695057; 695099; 695110; 695156; 695168; 695306; 695363; 695386; 695415; 695422; 695464; 695474; 695513; 695572; 695607; 695670; 695734; 695750; 695782; 695789; 695831; 695840; 695898; 695937; 695972; 696034; 696098; 696121; 696146; 696153; 696195; 696205; 696302; 696337; 696398; 696462; 696485; 696511; 696518; 696560; 696570; 696667; 696702; 696762; 696826; 696849; 696876; 696883; 696925; 696990; 697133; 697190; 697213; 697242; 697249; 697291; 697301; 697347; 697399; 697434; 697497; 697533; 697554; 697577; 697666; 697697; 697763; 697798; 697861; 697898; 697925; 697941; 697973; 697980; 698022; 698031; 698082; 698128; 698163; 698225; 698263; 698289; 698312; 698337; 698344; 698386; 698396; 698439; 698494; 698529; 698589; 698653; 698676; 698703; 698710; 698752; 698789; 698859; 698894; 698953; 698995; 699017; 699040; 699068; 699075; 699117; 699128; 699174; 699286; 699289; 699290; 699291; 699292; 699293; 699296; 699297; 699298; 699299; 699300; 699303; 699304; 699305; 699306; 699307; 699310; 699311; 699312; 699313; 699314; 699317; 699318; 699319; 699320; 699321; 699324; 699325; 699326; 699327; 699328; 699331; 699332; 699333; 699334; 699335; 699338; 699339; 699340; 699341; 699342; 699345; 699346; 699347; 699348; 699349; 699352; 699353; 699354; 699355; 699356; 699359; 699360; 699361; 699362; 699363; 699366; 699367; 699368; 699369; 699370; 699373; 699374; 699375; 699376; 699377; 699380; 699381; 699382; 699383; 699384; 699387; 699388; 699389; 699390; 699391; 699394; 699395; 699396; 699397; 699398; 699401; 699402; 699403; 699404; 699405; 699408; 699409; 699410; 699411; 699412; 699415; 699416; 699417; 699418; 699419; 699433; 699440; 699482; 699492; 699531; 699590; 699625; 699688; 699724; 699745; 699768; 699857; 699916; 699955; 699990; 700052; 700090; 700116; 700139; 700164; 700171; 700213; 700223; 700266; 700320; 700326; 700355; 700416; 700455; 700480; 700503; 700529; 700536; 700563; 700570; 700577; 700578; 700588; 700623; 700685; 700720; 700780; 700790; 700844; 700850; 700867; 700894; 700901; 700943; 700984; 701008; 701026; 701050; 701085; 701144; 701153; 701186; 701208; 701231; 701259; 701266; 701308; 701319; 701358; 701417; 701452; 701515; 701551; 701572; 701595; 701684; 701715; 701781; 701816; 701879; 701916; 701943; 701946; 701959; 701991; 701998; 702040; 702049; 702100; 702146; 702181; 702243; 702281; 702307; 702330; 702355; 702362; 702404; 702414; 702450; 702511; 702546; 702576; 702583; 702607; 702646; 702671; 702694; 702720; 702727; 702769; 702779; 702835; 702877; 702912; 702971; 703013; 703035; 703058; 703086; 703093; 703135; 703146; 703192; 703342; 703377; 703399; 703422; 703451; 703458; 703500; 703510; 703549; 703608; 703643; 703706; 703742; 703763; 703786; 703875; 703927; 703972; 703986; 704007; 704070; 704107; 704134; 704150; 704182; 704189; 704231; 704240; 704284; 704338; 704373; 704434; 704473; 704498; 704521; 704547; 704554; 704596; 704606; 704641; 704703; 704738; 704798; 704858; 704862; 704885; 704886; 704912; 704919; 704961; 705026; 705068; 705103; 705162; 705204; 705226; 705249; 705277; 705284; 705326; 705337; 705376; 705533; 705568; 705590; 705613; 705642; 705649; 705691; 705701; 705733; 705799; 705834; 705897; 705934; 705961; 705977; 706009; 706016; 706058; 706067; 706079; 706080; 706081; 706082; 706083; 706086; 706087; 706118; 706164; 706199; 706261; 706299; 706325; 706348; 706373; 706380; 706422; 706432; 706468; 706529; 706564; 706625; 706664; 706689; 706695; 706712; 706738; 706745; 706787; 706797; 706853; 706894; 706929; 706989; 707053; 707059; 707076; 707103; 707110; 707152; 707210; 707360; 707395; 707417; 707425; 707440; 707469; 707476; 707518; 707528; 707560; 707626; 707661; 707724; 707760; 707781; 707790; 707804; 707893; 707945; 707990; 708025; 708088; 708125; 708152; 708155; 708168; 708200; 708207; 708249; 708258; 708302; 708355; 708390; 708452; 708490; 708516; 708532; 708564; 708571; 708613; 708623; 708652; 708721; 708756; 708816; 708880; 708886; 708896; 708930; 708937; 708979; 709037; 709086; 709121; 709180; 709222; 709244; 709251; 709260; 709295; 709302; 709344; 709355; 709394; 709551; 709586; 709608; 709616; 709631; 709660; 709667; 709709; 709719; 709779; 709817; 709852; 709915; 709951; 709972; 709981; 709995; 710084; 710129; 710182; 710217; 710279; 710317; 710343; 710359; 710391; 710398; 710440; 710450; 710486; 710547; 710582; 710624; 710625; 710643; 710682; 710707; 710713; 710723; 710755; 710756; 710763; 710805; 710815; 710871; 710912; 710947; 711007; 711071; 711077; 711094; 711121; 711128; 711170; 711221; 711277; 711312; 711371; 711413; 711435; 711442; 711458; 711486; 711493; 711535; 711546; 711578; 711644; 711679; 711742; 711778; 711799; 711808; 711822; 711911; 711963; 712008; 712043; 712106; 712143; 712170; 712173; 712186; 712218; 712225; 712267; 712276; 712320; 712373; 712408; 712470; 712508; 712534; 712550; 712582; 712589; 712631; 712641; 712670; 712738; 712773; 712834; 712873; 712898; 712904; 712914; 712947; 712954; 712996; 713006; 713055; 713104; 713139; 713198; 713240; 713262; 713269; 713285; 713313; 713320; 713362; 713373; 713412; 713569; 713604; 713626; 713634; 713649; 713678; 713685; 713737; 713790; 713835; 713870; 713933; 713990; 714013; 714042; 714102; 714147; 714199; 714234; 714297; 714361; 714377; 714409; 714416; 714467; 714504; 714565; 714600; 714661; 714725; 714741; 714773; 714774; 714781; 714833; 714889; 714930; 714965; 715025; 715089; 715112; 715139; 715146; 715239; 715295; 715330; 715389; 715453; 715476; 715504; 715505; 715511; 715564; 715596; 715694; 715760; 715817; 715840; 715869; 715876; 715928; 715981; 716026; 716061; 716124; 716188; 716204; 716236; 716243; 716294; 716331; 716390; 716391; 716426; 716488; 716552; 716568; 716600; 716607; 716659; 716716; 716756; 716791; 716852; 716916; 716932; 716965; 716972; 717024; 717073; 717121; 717156; 717216; 717280; 717300; 717303; 717330; 717337; 717388; 717423; 717486; 717521; 717587; 717644; 717667; 717696; 717703; 717755; 717808; 717853; 717888; 717951; 718008; 718031; 718060; 718120; 718165; 718217; 718252; 718315; 718379; 718395; 718427; 718434; 718485; 718515; 718582; 718617; 718679; 718743; 718759; 718791; 718798; 718840; 718850; 718897; 718900; 718948; 718961; 718968; 718975; 718983; 718984; 718989; 718996; 719003; 719010; 719017; 719024; 719031; 719038; 719043; 719052; 719059; 719066; 719073; 719080; 719087; 719094; 719101; 719107; 719113; 719122; 719130; 719136; 719143; 719150; 719157; 719164; 719204; 719215; 719253; 719257; 719313; 719348; 719365; 719407; 719494; 719522; 719529; 719582; 719614; 719712; 719778; 719858; 719887; 719894; 719939; 719992; 720044; 720079; 720142; 720222; 720251; 720310; 720349; 720408; 720444; 720506; 720570; 720586; 720618; 720621; 720625; 720649; 720674; 720734; 720772; 720809; 720870; 720950; 720983; 720990; 721038; 721091; 721136; 721174; 721234; 721321; 721348; 721355; 721402; 721441; 721500; 721539; 721598; 721685; 721713; 721720; 721766; 721826; 721871; 721906; 721969; 722026; 722049; 722078; 722137; 722183; 722235; 722270; 722280; 722333; 722413; 722445; 722452; 722501; 722533; 722599; 722635; 722697; 722777; 722809; 722816; 722865; 722918; 722963; 723000; 723061; 723141; 723174; 723181; 723229; 723275; 723327; 723366; 723425; 723489; 723512; 723540; 723547; 723593; 723653; 723691; 723730; 723796; 723876; 723905; 723912; 723957; 724010; 724062; 724097; 724160; 724240; 724269; 724328; 724367; 724426; 724461; 724524; 724604; 724636; 724643; 724692; 724752; 724790; 724827; 724888; 724968; 725001; 725008; 725056; 725102; 725154; 725192; 725252; 725277; 725339; 725366; 725373; 725420; 725459; 725518; 725557; 725616; 725703; 725731; 725738; 725784; 725844; 725882; 725921; 725987; 726067; 726096; 726103; 726148; 726194; 726253; 726288; 726351; 726431; 726463; 726470; 726519; 726551; 726617; 726653; 726715; 726795; 726827; 726834; 726883; 726936; 726981; 727018; 727079; 727159; 727192; 727199; 727247; 727286; 727345; 727383; 727443; 727530; 727557; 727564; 727611; 727671; 727709; 727748; 727814; 727894; 727923; 727930; 727975; 728028; 728080; 728115; 728178; 728258; 728287; 728346; 728385; 728411; 728444; 728479; 728542; 728622; 728654; 728661; 728710; 728763; 728808; 728844; 728906; 728986; 729018; 729025; 729074; 729120; 729172; 729210; 729270; 729357; 729384; 729391; 729438; 729477; 729536; 729575; 729634; 729721; 729749; 729756; 729774; 729802; 729855; 729900; 729939; 730005; 730085; 730114; 730121; 730138; 730166; 730212; 730271; 730306; 730369; 730449; 730478; 730502; 730537; 730597; 730635; 730671; 730733; 730813; 730845; 730852; 730866; 730901; 730954; 730999; 731036; 731097; 731105; 731106; 731107; 731108; 731177; 731210; 731217; 731237; 731265; 731304; 731363; 731401; 731461; 731548; 731575; 731582; 731601; 731629; 731689; 731727; 731766; 731825; 731912; 731940; 731947; 731965; 731993; 732046; 732098; 732109; 732133; 732196; 732276; 732305; 732329; 732364; 732396; 732462; 732497; 732560; 732640; 732672; 732679; 732693; 732728; 732781; 732826; 732862; 732924; 733004; 733036; 733043; 733044; 733057; 733092; 733138; 733190; 733227; 733288; 733368; 733401; 733408; 733428; 733456; 733488; 733554; 733593; 733652; 733739; 733767; 733774; 733792; 733820; 733873; 733918; 733957; 734023; 734103; 734132; 734139; 734156; 734184; 734230; 734289; 734324; 734387; 734467; 734496; 734520; 734555; 734615; 734653; 734688; 734751; 734831; 734863; 734870; 734884; 734919; 734965; 735017; 735054; 735115; 735195; 735228; 735235; 735255; 735283; 735322; 735381; 735419; 735479; 735566; 735593; 735600; 735619; 735647; 735707; 735745; 735784; 735843; 735930; 735958; 735965; 735983; 736011; 736057; 736109; 736148; 736214; 736294; 736323; 736330; 736347; 736375; 736414; 736480; 736515; 736578; 736658; 736690; 736697; 736711; 736746; 736799; 736844; 736880; 736942; 737022; 737054; 737061; 737075; 737110; 737149; 737208; 737245; 737306; 737386; 737419; 737426; 737446; 737474; 737534; 737572; 737610; 737670; 737757; 737784; 737791; 737810; 737838; 737891; 737936; 737975; 738041; 738121; 738150; 738157; 738174; 738202; 738248; 738307; 738342; 738405; 738485; 738514; 738538; 738573; 738626; 738671; 738706; 738769; 738849; 738881; 738888; 738902; 738937; 738983; 739035; 739071; 739133; 739213; 739245; 739252; 739266; 739301; 739340; 739399; 739437; 739497; 739584; 739611; 739618; 739637; 739665; 739725; 739763; 739802; 739861; 739948; 739976; 739983; 740001; 740029; 740075; 740127; 740166; 740232; 740312; 740341; 740348; 740365; 740393; 740432; 740498; 740533; 740596; 740676; 740705; 740729; 740764; 740817; 740862; 740898; 740960; 741040; 741072; 741079; 741093; 741128; 741167; 741226; 741263; 741324; 741404; 741437; 741444; 741464; 741492; 741552; 741590; 741628; 741688; 741775; 741802; 741809; 741828; 741856; 741909; 741954; 741993; 742052; 742139; 742167; 742174; 742192; 742220; 742259; 742325; 742360; 742423; 742503; 742532; 742556; 742591; 742644; 742689; 742724; 742787; 742867; 742899; 742906; 742920; 742955; 743001; 743053; 743089; 743151; 743231; 743263; 743270; 743284; 743319; 743351; 743417; 743454; 743515; 743595; 743628; 743635; 743655; 743683; 743736; 743781; 743820; 743879; 743966; 743994; 744001; 744019; 744047; 744093; 744145; 744184; 744250; 744330; 744359; 744366; 744383; 744411; 744478; 744516; 744551; 744614; 744694; 744723; 744747; 744782; 744828; 744880; 744915; 744978; 745058; 745090; 745097; 745111; 745146; 745185; 745244; 745281; 745342; 745422; 745455; 745462; 745482; 745510; 745570; 745608; 745646; 745706; 745793; 745820; 745827; 745846; 745874; 745920; 745972; 746011; 746070; 746157; 746185; 746192; 746210; 746238; 746277; 746336; 746375; 746441; 746521; 746550; 746557; 746574; 746602; 746662; 746707; 746742; 746805; 746885; 746917; 746924; 746938; 746973; 747019; 747071; 747107; 747169; 747249; 747281; 747288; 747302; 747337; 747369; 747435; 747472; 747533; 747613; 747646; 747653; 747673; 747701; 747754; 747799; 747837; 747897; 747984; 748011; 748018; 748037; 748065; 748111; 748163; 748202; 748268; 748348; 748377; 748384; 748401; 748429; 748489; 748534; 748569; 748632; 748712; 748741; 748765; 748800; 748846; 748898; 748933; 748996; 749076; 749108 ]; if (nargin == 0) return endif sd = datenum (datevec (sd)); ed = datenum (datevec (ed)); if (sd > ed) hol = zeros (0,1); # matlab compatibility 0x1 else hol = hol(hol >= sd & hol <= ed); if (sd < sd_hol); hol = [calculate_holidays(sd, sd_hol -1); hol]; endif if (ed > ed_hol); hol = [hol; calculate_holidays(ed_hol +1, ed)]; endif endif endfunction function hol = calculate_holidays (sd, ed) ## for dates outside the list, we can try to calculate them ## calculate all holidays on the request years. We will trim them at the end yrs = year (sd) : year (ed); hol = []; ## New Year's Day ## when it falls on a Saturday it will not move to Friday so the adjustment ## later on will not work for those cases. As such, we prune them now hol = [hol; (weekday (datenum(yrs, 1, 1)) != 7)(:)]; ## Martin Luther King Day, the third Monday in January hol = [hol; nweekdate(3, 2, yrs, 1)(:)]; ## Washington's Birthday, the third Monday in February hol = [hol; nweekdate(3, 2, yrs, 2)(:)]; ## Good Friday (Friday of Easter) hol = [hol; (easter (yrs) - 2)(:)]; ## Memorial Day, the last Monday in May hol = [hol; lweekdate(2, yrs, 5)(:)]; ## Independence Day, July 4 hol = [hol; datenum(yrs, 7, 4)(:)]; ## Labor Day, the first Monday in September hol = [hol; nweekdate(1, 2, yrs, 9)(:)]; ## Thanksgiving Day, the fourth Thursday in November hol = [hol; nweekdate(4, 5, yrs, 11)(:)]; ## Christmas Day hol = [hol; datenum(yrs, 12, 25)(:)]; ## Adjust for Saturdays and Sundays ## From NYSE rules at http://nyserules.nyse.com/nysetools/PlatformViewer.asp?SelectedNode=chp_1_3&manual=/nyse/rules/nyse-rules/ ## ## The Exchange Board has also determined that, when any holiday observed by ## the Exchange falls on a Saturday, the Exchange will not be open for business ## on the preceding Friday and when any holiday observed by the Exchange falls ## on a Sunday, the Exchange will not be open for business on the succeeding ## Monday, unless unusual business conditions exist, such as the ending of a ## monthly or the yearly accounting period. ## ## Basically, Saturday holidays should be shifted to the previous Friday, and ## Sunday holidays to the next Monday, except when it crosses a calendar year. wd = weekday (hol); hol(wd == 1) = hol(wd == 1) + 1; # Sunday holidays move to Monday hol(wd == 7) = hol(wd == 7) - 1; # Saturday holidays move to Friday ## Trim out the days that are not in the date range hol(hol > ed | hol < sd) = []; hol = sort (hol); endfunction %!assert(holidays("jan 1 1999", "jan 1 1998"), zeros(0,1)); # return empty when startdate is after enddate %!assert(holidays("mar 5 2008", "mar 8 2008"), zeros(0,1)); %!assert(holidays(datenum(2008,3,5), datenum(2008,3,5)), zeros(0,1)); %!assert(holidays(datenum(2008,1,1), datenum(2008,1,1)), datenum(2008,1,1)); ## accept input dates in multiple formats %!assert (holidays ("jan 1 2010", "mar 1 2010"), [734139; 734156; 734184]); %!assert (holidays (datenum (2010, 1, 1), datenum (2010, 3, 1)), [734139; 734156; 734184]); ## do NOT move new year's day to Friday when it falls on a Saturday (Jan 2005) %!assert (holidays ("dec 29 2004", "jan 2 2005"), zeros (0, 1)); ## but do move new year's day to Monday when it falls on a Sunday (Jan 2006) %!assert (holidays ("dec 29 2005", "jan 2 2006"), datenum (2006 ,1 ,2)); ## check for special dates such as 11-jun-2004 (PresidentialFuneral-RonaldReagan) which can't be guessed, are just on the list %!assert(holidays(datenum(2004,1,1), datenum(2004,12,31)), datenum(2004*ones(10,1), [1;1;2;4;5;6;7;9;11;12], [1;19;16;9;31;11;5;6;25;24])); financial-0.5.0/inst/PaxHeaders.10530/blsgamma.m0000644000000000000000000000013212653547023016112 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blsgamma.m0000644000175000017500000000471612653547023020115 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{Gamma} =} blsgamma (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {@var{Gamma} =} blsgamma (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Compute Black-Scholes gamma. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the Black-Scholes gamma, the rate of change of the option delta with ## respect to the value of the underlying asset. ## ## @seealso{blsdelta, blslambda, blsprice, blsrho, blstheta, blsvega} ## @end deftypefn function Gamma = blsgamma (Price, Strike, Rate, Time, Volatility, Yield = 0) if (nargin < 4 || nargin > 5) print_usage (); endif blscheck ("blsgamma", Price, Strike, Rate, Time, Volatility, Yield); sigma_sqrtT = Volatility .* sqrt (Time); d1 = 1 ./ sigma_sqrtT .* (log (Price ./ Strike) + (Rate - Yield + ... Volatility .^2 / 2) .* Time); Gamma = exp (-Yield .* Time) .* normpdf (d1) ./ (Price .* sigma_sqrtT); endfunction ## Tests %assert (blsgamma(90:10:110, 100, 0.04, 1, 0.2, 0.01), [0.0211 0.0191 0.0138], 1e-4) ## Test input validation %!error blsgamma () %!error blsgamma (1) %!error blsgamma (1, 2) %!error blsgamma (1, 2, 3) %!error blsgamma (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/bolling.m0000644000000000000000000000013212653547023015755 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/bolling.m0000644000175000017500000000531612653547023017755 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} bolling (@var{asset}, @var{samples}) ## @deftypefnx {Function File} {} bolling (@var{asset}, @var{samples}, @var{alpha}) ## @deftypefnx {Function File} {} bolling (@var{asset}, @var{samples}, @var{alpha}, @var{width}) ## @deftypefnx {Function File} {[@var{movavg}, @var{upperband}, @var{lowerband}] =} bolling (@var{asset}, @var{samples}, ...) ## ## If no output is requested, plot the bollinger bands of the ## @var{asset}. If output is requested, return the values for the ## bollinger bands. If given, @var{alpha} is the weighting power of the ## moving average; 0 (default) is the simple moving average, see ## @code{movavg} for the full definition. @var{width} is the number of ## standard deviations to plot above and below the moving average ## (default: 2). ## ## @seealso{movavg, candle, dateaxis, highlow, pointfig} ## @end deftypefn function [varargout] = bolling (asset, samples, alpha, width) ## Check input and set the defaults if nargin < 2 || nargin > 4 print_usage (); elseif nargin < 3 alpha = 0; endif if nargin < 4 width = 2; endif if samples > length (asset) error ("Samples must be <= the length of the asset") endif ## the moving average and the standard deviation avg = movavg (asset, samples, samples, alpha); s = zeros (size (avg)); ## Assume that the standard deviation is constant for the first samples ## FIXME: is this what matlab assumes s(1:samples) = width * std (asset(1:samples)); for i = samples+1:length (asset) s(i) = width * std (asset(i - samples + 1:i)); endfor if nargout > 0 varargout{1} = avg; else x = 1:length (avg); h = plot (x, asset, x, avg, x, avg .+ [-s, s], "-r"); cls = get (gca, "colororder"); set (h(4), "color", cls(3,:)); endif if nargout > 1 varargout{2} = avg + s; endif if nargout > 2 varargout{3} = avg - s; endif endfunction ## Test input validation %!error bolling () %!error bolling (1) %!error bolling (1, 2) %!error bolling ("invalid", "type") financial-0.5.0/inst/PaxHeaders.10530/irr.m0000644000000000000000000000013212653547023015123 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/irr.m0000644000175000017500000000256412653547023017125 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2004-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} irr (@var{p}, @var{i}) ## Return the internal rate of return of a series of payments @var{p} ## from an initial investment @var{i} (i.e., the solution of ## @code{npv (r, p) = i}. If the second argument is omitted, a value of ## 0 is used. ## @seealso{npv, pv, rate} ## @end deftypefn function r = irr (p, i = 0) ## Check input if (nargin != 1 && nargin != 2) print_usage (); elseif (! (isvector (p))) error ("irr: p must be a vector"); elseif (! isscalar (i)) error ("irr: i must be a scalar"); endif ## Solve system f = @(x) npv (x, p) - i; r = fsolve (f, 0); endfunction financial-0.5.0/inst/PaxHeaders.10530/mirr.m0000644000000000000000000000013012653547023015276 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/mirr.m0000644000175000017500000000325112653547023017274 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{return} =} mirr (@var{cashflow}, @var{finrate}, @var{reinvestrate}) ## Compute the modified internal rate of return. ## Take periodic @var{cashflow}s as a vector and the finance rate, ## @var{finrate}, for negative cash flows and a reinvestment rate, ## @var{reinvestrate}, for positive cash flows. ## @seealso{irr, effrr, nomrr, pvvar, xirr} ## @end deftypefn ## Algorithm from ## http://en.wikipedia.org/wiki/Modified_Internal_Rate_of_Return function rate = mirr (flow, finrate, reinvestrate) if (nargin != 3) print_usage (); endif posflow = zeros (size (flow)); negflow = zeros (size (flow)); mask = flow >= 0; posflow(mask) = flow(mask); negflow(!mask) = flow(!mask); n = numel (flow); rate = (-npv (reinvestrate, posflow)*(1+reinvestrate)^n/ (npv (finrate, negflow)*(1+finrate)))^(1/(n-1))-1; endfunction ## Tests %!assert (mirr ([-100000 20000 -10000 30000 38000 50000], 0.09, 0.12), 0.0832, 0.00005) financial-0.5.0/inst/PaxHeaders.10530/fv.m0000644000000000000000000000013212653547023014742 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/fv.m0000644000175000017500000000423412653547023016740 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} fv (@var{r}, @var{n}, @var{p}, @var{l}, @var{method}) ## Return the future value at the end of period @var{n} of an investment ## which consists of @var{n} payments of @var{p} in each period, ## assuming an interest rate @var{r}. ## ## The optional argument @var{l} may be used to specify an ## additional lump-sum payment. ## ## The optional argument @var{method} may be used to specify whether the ## payments are made at the end (@code{"e"}, default) or at the ## beginning (@code{"b"}) of each period. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @end deftypefn function v = fv (r, n, p, l, m) if (nargin < 3 || nargin > 5) print_usage (); endif if (! (isscalar (r) && r > -1)) error ("fv: r must be a scalar > -1"); elseif (! (isscalar (n) && n > 0)) error ("fv: n must be a positive scalar"); elseif (! isscalar (p)) error ("fv: p must be a scalar"); endif if (r != 0) v = p * ((1 + r)^n - 1) / r; else v = p * n; endif if (nargin > 3) if (nargin == 5) if (! ischar (m)) error ("fv: `method' must be a string"); endif elseif ischar (l) m = l; l = 0; else m = "e"; endif if strcmp (m, "b") v = v * (1 + r); endif if isscalar (l) v = v + fvl (r, n, l); else error ("fv: l must be a scalar"); endif endif endfunction financial-0.5.0/inst/PaxHeaders.10530/llow.m0000644000000000000000000000013212653547023015304 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/llow.m0000644000175000017500000000360412653547023017302 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{llv} =} llow (@var{data}) ## @deftypefnx {Function File} {@var{llv} =} llow (@var{data}, @var{nperiods}) ## @deftypefnx {Function File} {@var{llv} =} llow (@var{data}, @var{nperiods}, @var{dim}) ## ## Compute the lowest low value of @var{data} for the past ## @var{nperiods} (default: 14) across the dimension, @var{dim} ## (default: 1). ## ## @seealso{hhigh} ## @end deftypefn function llv = llow (data, nperiods = 14, dim = find (size (data) > 1, 1)) if nargin < 1 || nargin > 3 print_usage (); elseif ! isvector (data) ## FIXME error ("cannot yet handle more than one dimensional data") elseif dim > ndims (data) error ("dim cannot be greater than the number of dimensions in data"); endif sz = size (data); llv = data; for i = 1:sz(dim) llv(i) = min (data(max (i-nperiods+1, 1):i)); endfor endfunction ## Tests %!shared c, l %! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21 25]; %! l = [22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.61 22.67 22.86 22.86 22.86 22.86]; %!assert(llow(c), l) %!assert(llow(c'), l') financial-0.5.0/inst/PaxHeaders.10530/fbusdate.m0000644000000000000000000000013212653547023016124 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/fbusdate.m0000644000175000017500000000374512653547023020130 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {b =} fbusdate (year, month) ## @deftypefnx {Function File} {b =} fbusdate (year, month, holiday) ## @deftypefnx {Function File} {b =} fbusdate (year, month, holiday, weekend) ## ## Return the datenum of the first business day of the @var{year} and ## @var{month}. @var{holiday} is a vector of datenums that defines the ## holidays observed (the holidays function is used if not given). ## @var{weekend} defines the days of the week that should be considered ## weekends; [1 0 0 0 0 0 1] (default) indicates that Sunday and ## Saturday are holidays. ## ## If any of the optional inputs (@var{holiday}, @var{weekend}) are ## empty, then the default is used. ## ## @seealso{holidays, lbusdate, isbusday, busdate} ## @end deftypefn function rd = fbusdate (y, m, hol, wkend) rd = datenum (y, m, 1); if nargin < 3 hol = []; end if nargin < 4 wkend = []; elseif nargin < 3 || nargin > 4 print_usage (); endif ## Test from the day before the beginning of the month so that the ## first day of the month is captured. rd = busdate (rd-1, 1, hol, wkend); endfunction ## Tests ## A normal day %!assert(fbusdate(2008,2), datenum(2008,2,1)) ## A holiday %!assert(fbusdate(2008,1), datenum(2008,1,2)) ## A weekend %!assert(fbusdate(2008,3), datenum(2008,3,3)) financial-0.5.0/inst/PaxHeaders.10530/blstheta.m0000644000000000000000000000013212653547023016135 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blstheta.m0000644000175000017500000000572312653547023020137 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{CallTheta}, @var{PutTheta}] =} blstheta (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {[@var{CallTheta}, @var{PutTheta}] =} blstheta (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Compute the Black-Scholes theta. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the Black-Scholes theta, the rate of change of the option value with ## respect to the time-to-expiry. ## ## @seealso{blsdelta, blsgamma, blslambda, blsprice, blsrho, blsvega} ## @end deftypefn function [CallTheta, PutTheta] = blstheta (Price, Strike, Rate, Time, ... Volatility, Yield = 0) if (nargin < 5 || nargin > 6) print_usage (); endif blscheck ("blstheta", Price, Strike, Rate, Time, Volatility, Yield); sqrtT = sqrt (Time); sigma_sqrtT = Volatility .* sqrtT; d1 = 1 ./ sigma_sqrtT .* (log (Price ./ Strike) + (Rate - Yield + Volatility.^2 / 2) .* Time); d2 = d1 - sigma_sqrtT; phi1 = normcdf (d1); phi2 = normcdf (d2); disc = exp (-Yield .* Time); shift = -disc .* Price .* normpdf (d1) .* Volatility / 2 ./ sqrtT; t1 = Rate .* Strike .* exp (-Rate .* Time); t2 = Yield .* Price .* disc; CallTheta = shift - t1 .* phi2 + t2 .* phi1 ; PutTheta = shift + t1 .* (1 - phi2) + t2 .* (phi1 - 1); endfunction ## Tests %!test %! [CallTheta, PutTheta] = blstheta (90:10:110, 100, 0.04, 1, 0.2, 0.01); %! assert (CallTheta, [-4.2901 -5.2337 -5.1954], 1e-4) %! assert (PutTheta, [-1.3380 -2.3806 -2.4413], 1e-4) ## Test input validation %!error blstheta () %!error blstheta (1) %!error blstheta (1, 2) %!error blstheta (1, 2, 3) %!error blstheta (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/highlow.m0000644000000000000000000000013212653547023015770 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/highlow.m0000644000175000017500000000522112653547023017763 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{h} =} highlow (@var{high}, @var{low}, @var{close}) ## @deftypefnx {Function File} {@var{h} =} highlow (@var{high}, @var{low}, @var{close}, @var{open}) ## @deftypefnx {Function File} {@var{h} =} highlow (@var{high}, @var{low}, @var{close}, @var{open}, @var{color}) ## ## Plot the @var{high}, @var{low}, and @var{close} of a security. The ## @var{close} is plotted as a tick to the right, and if @var{open} is ## given and non-empty, it is plotted as a tick to the left. The color ## can override the default color for the plot. ## ## @seealso{bolling, candle, dateaxis, movavg, pointfig} ## @end deftypefn function h = highlow (high, low, close, open = [], color) if nargin < 3 || nargin > 5 print_usage (); elseif nargin < 5 plotargs = {}; else plotargs = {"color", color}; endif if isempty (high) || isempty (low) || isempty (close) error ("high, low, and close may not be empty") elseif ~(isvector (high) && isvector (low) && isvector (close)) error ("high, low, and close must be vectors") elseif ( (numel (high) != numel (low)) || (numel (high) != numel (close)) ) error ("high, low, and close must have the same number of elements") elseif ( !isempty (open) && (numel (high) != numel (open)) ) error ("open must have the same number of elements as high, low, and close") endif holdstat = ishold (); ## h = hggroup (); ## plotargs(end+1:end+2) = {"parent", h}; hold on; x = (1:length(high)) + 0.5; x = reshape([x;x;nan(size(x))], [], 1); y = reshape([high(:)'; low(:)'; nan(1, length(high))], [], 1); plot(x, y, plotargs{:}); x = 1:length(high); x = reshape([x+0.5;x+1;nan(size(x))], [], 1); y = reshape([close(:)';close(:)';nan(1, length(close))], [], 1); plot(x, y, plotargs{:}); if ! isempty(open) x -= 0.5; y = reshape([open(:)';open(:)';nan(1, length(open))], [], 1); plot(x, y, plotargs{:}); endif if !holdstat hold off; endif endfunction financial-0.5.0/inst/PaxHeaders.10530/easter.m0000644000000000000000000000013212653547023015612 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/easter.m0000644000175000017500000000511012653547023017602 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[m, d] =} easter (y) ## @deftypefnx {Function File} {datenum =} easter (y) ## ## Return the month (@var{m}) and day (@var{d}) of Easter in the ## Gregorial calendar on a given year or years. ## ## @seealso{holidays} ## @end deftypefn function varargout = easter (y) ## This uses the Meesus/Jones/Butcher Gregorian algorithm as described ## on http://en.wikipedia.org/wiki/Computus#Algorithms a = mod (y, 19); b = floor (y/100); c = mod (y, 100); d = floor (b/4); e = mod (b, 4); f = floor ((b + 8)/25); g = floor ((b - f + 1)/3); h = mod ((19*a+b-d-g+15), 30); i = floor (c/4); k = mod (c, 4); L = mod ((32 + 2*e + 2*i - h - k), 7); m = floor ((a + 11*h + 22*L)/451); mon = floor ((h + L - 7*m + 114)/31); day = 1 + mod ((h + L - 7*m + 114), 31); if nargout == 2 varargout = {mon(:), day(:)}; else varargout{1} = reshape (datenum (y(:), mon(:), day(:)), size (y)); end endfunction ## Tests ## Validate that it calculates the correct date for a decade %!assert(easter(1990), datenum(1990, 4, 15)) %!assert(easter(1991), datenum(1991, 3, 31)) %!assert(easter(1992), datenum(1992, 4, 19)) %!assert(easter(1993), datenum(1993, 4, 11)) %!assert(easter(1994), datenum(1994, 4, 3)) %!assert(easter(1995), datenum(1995, 4, 16)) %!assert(easter(1996), datenum(1996, 4, 7)) %!assert(easter(1997), datenum(1997, 3, 30)) %!assert(easter(1998), datenum(1998, 4, 12)) %!assert(easter(1999), datenum(1999, 4, 4)) ## Validate vector and matrix inputs %!assert(easter([2000 2001]), [datenum(2000, 4, 23) datenum(2001, 4, 15)]) %!assert(easter([2002;2003]), [datenum(2002, 3, 31);datenum(2003, 4, 20)]) %!assert(easter([2004 2005;2006 2007;2008 2009]), [datenum(2004, 4, 11) datenum(2005, 3, 27);datenum(2006, 4, 16) datenum(2007, 4, 8);datenum(2008, 3, 23) datenum(2009, 4, 12)]) %!assert(easter([2002;2003]), [datenum(2002, 3, 31);datenum(2003, 4, 20)]) financial-0.5.0/inst/PaxHeaders.10530/movavg.m0000644000000000000000000000013012653547023015624 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/movavg.m0000644000175000017500000000640012653547023017621 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} movavg (@var{asset}, @var{lead}, @var{lag}) ## @deftypefnx {Function File} {} movavg (@var{asset}, @var{lead}, @var{lag}, @var{alpha}) ## @deftypefnx {Function File} {[@var{short}, @var{long}] =} movavg (@var{asset}, @var{lead}, @var{lag}, @var{alpha}) ## ## Calculate the @var{lead}ing and @var{lag}ging moving average of an ## @var{asset}. If given, @var{alpha} is the weighting power of the ## delay; 0 (default) is the simple moving average, 0.5 would be the ## square root weighted moving average, 1 would be linear, 2 would be ## squared, ..., and 'e' is the exponential moving average. ## ## If no output is requested the data is plotted. The plots are drawn ## in the following order: asset, lag, lead. If output is requested, no ## plot is generated. ## ## @seealso{bolling, candle, dateaxis, highlow, pointfig} ## @end deftypefn function [varargout] = movavg (asset, lead, lag, alpha = 0) if nargin < 3 || nargin > 4 print_usage (); endif if lead > lag error ("lead must be <= lag") elseif ischar (alpha) if ! strcmpi (alpha, "e") error ("alpha must be 'e' if it is a char"); endif elseif ! isnumeric (alpha) error ("alpha must be numeric or 'e'") endif ## Compute the weights if ischar (alpha) lead = exp(1:lead); lag = exp(1:lag); else lead = (1:lead).^alpha; lag = (1:lag).^alpha; endif ## Adjust the weights to equal 1 lead = lead / sum (lead); lag = lag / sum (lag); short = asset; long = asset; for i = 1:length (asset) if i < length (lead) ## Compute the run-in period r = length (lead) - i + 1:length(lead); short(i) = dot (asset(1:i), lead(r))./sum (lead(r)); else short(i) = dot (asset(i - length(lead) + 1:i), lead); endif if i < length (lag) r = length (lag) - i + 1:length(lag); long(i) = dot (asset(1:i), lag(r))./sum (lag(r)); else long(i) = dot (asset(i - length(lag) + 1:i), lag); endif endfor if nargout > 0 varargout{1} = short; else plot((1:length(asset))', [asset(:), long(:), short(:)]); endif if nargout > 1 varargout{2} = long; endif endfunction ## Tests %!shared a %! a = [1 2 3 2 4 2 1]; %!test %! [s l] = movavg(a, 2, 4); %! assert(s, [1 1.5 2.5 2.5 3 3 1.5]) %! assert(l, [1 1.5 2 2 2.75 2.75 2.25]) %!test %! [s l] = movavg(a', 2, 4); %! assert(s, [1;1.5;2.5;2.5;3;3;1.5]) %! assert(l, [1;1.5;2;2;2.75;2.75;2.25]) %!test %! [s l] = movavg(a, 3, 4, 1); %! assert(s, [3 4.8 7 7 9.5 8 5.5]./3, 10*eps) %! assert(l, [1 11/7 20/9 2.2 3 2.7 2], 10*eps) financial-0.5.0/inst/PaxHeaders.10530/hhigh.m0000644000000000000000000000013212653547023015416 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/hhigh.m0000644000175000017500000000360712653547023017417 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{hhv} =} hhigh (@var{data}) ## @deftypefnx {Function File} {@var{hhv} =} hhigh (@var{data}, @var{nperiods}) ## @deftypefnx {Function File} {@var{hhv} =} hhigh (@var{data}, @var{nperiods}, @var{dim}) ## ## Compute the highest high value of @var{data} for the past ## @var{nperiods} (default: 14) across the dimension, @var{dim} ## (default: 1). ## ## @seealso{llow} ## @end deftypefn function hhv = hhigh (data, nperiods = 14, dim = find (size (data) > 1, 1)) if nargin < 1 || nargin > 3 print_usage (); elseif ! isvector (data) ## FIXME error ("cannot yet handle more than one dimensional data") endif if dim > ndims (data) error ("dim cannot be greater than the number of dimensions in data"); endif sz = size (data); hhv = data; for i = 1:sz(dim) hhv(i) = max (data(max (i-nperiods+1, 1):i)); endfor endfunction ## Tests %!shared c, h %! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21 25]; %! h = [22.44 22.61 22.67 22.88 23.36 23.36 23.36 23.36 23.36 23.69 23.77 23.84 24.32 24.8 24.8 24.8 24.8 24.8 24.8 25]; %!assert(hhigh(c), h) %!assert(hhigh(c'), h') financial-0.5.0/inst/PaxHeaders.10530/pvl.m0000644000000000000000000000013212653547023015130 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/pvl.m0000644000175000017500000000266612653547023017135 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{v} =} pvl (@var{r}, @var{n}, @var{p}) ## Return the present value @var{v} of an investment that will pay off @var{p} ## in one lump sum at the end of @var{n} periods, given the interest ## rate @var{r}. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @end deftypefn function v = pvl (r, n, p) if (nargin != 3) print_usage (); endif if (! (isscalar (r) && (r > -1))) error ("pvl: r has to be a scalar > -1"); elseif (! (isscalar (n) && n > 0)) error ("pvl: n has to be a positive scalar"); elseif (! isscalar (p)) error ("pvl: p has to be a scalar"); endif v = p / (1 + r)^n; endfunction financial-0.5.0/inst/PaxHeaders.10530/dateaxis.m0000644000000000000000000000013212653547023016131 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/dateaxis.m0000644000175000017500000000557612653547023020141 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} dateaxis () ## @deftypefnx {Function File} {} dateaxis (@var{ax}) ## @deftypefnx {Function File} {} dateaxis (@var{ax}, @var{dateform}) ## @deftypefnx {Function File} {} dateaxis (@var{ax}, @var{dateform}, @var{startdate}) ## @deftypefnx {Function File} {} dateaxis (@var{h}, ...) ## ## Convert the current axis tick labels (or the axis handle @var{h}) to ## a date format. The axis given by @var{ax} ("x", "y", or "z") will be ## changed; the default is "x". The date format, @var{dateform}, used ## will be either auto-determined or an integer corresponding to the ## date formats in datestr. If @var{startdate} is given, then the first ## tick value on the given axis is assumed to be that date. ## ## @seealso{bolling, candle, highlow, movavg, pointfig} ## @end deftypefn function dateaxis (varargin) ## defaults h = []; ax = "x"; dateform = []; startdate = []; ## check inputs if nargin > 0 if ishandle(varargin{1}) h = varargin{1}; varargin(1) = []; endif if length(varargin) > 0 ax = varargin{1}; endif if length(varargin) > 1 dateform = varargin{2}; endif if length(varargin) > 2 startdate = varargin{3}; if ischar(startdate) startdate = datenum(startdate); elseif !isnumeric(startdate) error ("dateaxis: startdate must be either a datenum or numeric") endif endif if length(varargin) > 3 print_usage (); endif endif if (isempty (h)) h = gca (); endif if isempty(dateform) r = range(get(h, [ax "lim"])); if r < 10/60/24 ## minutes and seconds dateform = 13; elseif r < 2 ## hours dateform = 15; elseif r < 15 ## days dateform = 8; elseif r < 365 ## months dateform = 6; elseif r < 90*12 ## quarters dateform = 27; else ## years dateform = 10; endif endif ticks = get (h, [ax "tick"]); if (!isempty (startdate)) ticks = ticks - ticks(1) + startdate; endif ticks = datestr(ticks, dateform); ticks = mat2cell(ticks, ones(size(ticks,1),1), size(ticks,2)); set (h, [ax "ticklabel"], ticks); endfunction financial-0.5.0/inst/PaxHeaders.10530/effrr.m0000644000000000000000000000013212653547023015433 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/effrr.m0000644000175000017500000000221712653547023017430 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{return} =} effrr (@var{rate}, @var{numperiods}) ## Compute the effective rate of return based on a nominal @var{rate} ## over a number of periods, @var{numperiods}. ## @seealso{irr, nomrr} ## @end deftypefn function rate = effrr (rate, numperiods) if (nargin != 2) print_usage (); endif rate = (1+rate./numperiods).^numperiods - 1; endfunction ## Tests %!assert (effrr (0.09, 12), 0.0938, 0.00005) financial-0.5.0/inst/PaxHeaders.10530/cir.m0000644000000000000000000000013212653547023015104 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/cir.m0000644000175000017500000000510112653547023017074 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{CIR} =} cir (@var{Speed}, @var{Level}, @var{Sigma}) ## @deftypefnx {Function File} {@var{CIR} =} cir (@var{Speed}, @var{Level}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a Cox-Ingersoll-Ross (CIR) mean-reverting ## square root diffusion: ## ## @center dX_t = (@var{Speed}(t) * (@var{Level}(t) - X_t))dt + (diag(X_t.^1/2) * @var{Sigma}(t))dW_t. ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{sde} ## @end deftypefn function CIR = cir (Speed, Level, Sigma, varargin) if (nargin < 3) print_usage (); endif ## Infer NVARS NVARS = 0; if (isnumeric (Speed)) NVARS = rows (Speed); elseif (isnumeric (Level)) NVARS = rows (Level); elseif (isnumeric (Sigma)) NVARS = rows (Sigma); else NVARS = sdenvars (varargin{:}); endif CIR = sdemrd (Speed, Level, ones (NVARS, 1) * .5, Sigma, varargin{:}); endfunction ## Bond pricing test %!test %! InitialInterestRate = 0.03; Speed = 1.; MeanInterestRate = 0.04; Volatility = 0.3; ExpiryTime = 1.; %! Simulations = 1e4; Timesteps = 100; %! SDE = cir (Speed, MeanInterestRate, Volatility, "StartState", InitialInterestRate); %! [Paths, ~, ~] = simByEuler (SDE, Timesteps, "DeltaTime", ExpiryTime / Timesteps, "NTRIALS", Simulations, "NSTEPS", 1, "Antithetic", true, "Processes", @(t, X) max(X, 0)); %! BondApproximate = mean (exp (-(sum (Paths) - InitialInterestRate) * ExpiryTime / Timesteps)); %! h = sqrt (Speed * Speed + 2 * Volatility * Volatility); %! d = (2 * h + (Speed + h) * (exp (ExpiryTime * h) - 1)); %! A = ( (2 * h * exp ((Speed + h) * ExpiryTime / 2)) / d )^((2 * Speed * MeanInterestRate) / (Volatility * Volatility)); %! B = 2 * (exp (ExpiryTime * h) - 1) / d; %! Bond = A * exp (-B * InitialInterestRate); %! assert (BondApproximate, Bond, 1e-3); financial-0.5.0/inst/PaxHeaders.10530/year.m0000644000000000000000000000013212653547023015267 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/year.m0000644000175000017500000000366112653547023017270 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2013, 2015 Carnë Draug ## Copyright (C) 2015 Ronald van der Meer ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} year (@var{date}) ## @deftypefnx {Function File} {} year (@var{date}, @var{f}) ## Return year of a date. ## ## For a given @var{date} in a serial date number or date string format, ## returns its year. The optional variable @var{f}, specifies the ## format string used to interpret date strings. ## ## @seealso{date, datevec, now, day, month} ## @end deftypefn function t = year (varargin) if (nargin < 1 || nargin > 2) print_usage (); elseif (nargin >= 2 && ! ischar (varargin{2})) error ("year: F must be a string"); endif t = datevec (varargin{:})(:,1); if (! isa (varargin{1}, "char")) t = reshape (t, size (varargin{1})); endif endfunction %!assert (year (523383), 1432); %!assert (year ("12-02-34", "mm-dd-yy"), 2034); ## Test that we keep the same as the input %!assert (year ([728647 728848]), [1994 1995]); %!assert (year ([728647; 728848]), [1994; 1995]); ## test cell array of strings with different sizes %!assert (year ({"12-02-34", "12-02-85"}, "mm-dd-yy"), [2034 1985]); %!assert (year ({"12-02-34"; "12-02-85"}, "mm-dd-yy"), [2034; 1985]); financial-0.5.0/inst/PaxHeaders.10530/hwv.m0000644000000000000000000000013212653547023015133 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/hwv.m0000644000175000017500000000321112653547023017123 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{HWV} =} hwv (@var{Speed}, @var{Level}, @var{Sigma}) ## @deftypefnx {Function File} {@var{HWV} =} hwv (@var{Speed}, @var{Level}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a Hull-White/Vasicek (HWV) diffusion: ## ## @center dX_t = (@var{Speed}(t) * (@var{Level}(t) - X_t))dt + @var{Sigma}(t)dW_t. ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{sde} ## @end deftypefn function HWV = hwv (Speed, Level, Sigma, varargin) if (nargin < 3) print_usage (); endif ## Infer NVARS NVARS = 0; if (isnumeric (Speed)) NVARS = rows (Speed); elseif (isnumeric (Level)) NVARS = rows (Level); elseif (isnumeric (Sigma)) NVARS = rows (Sigma); else NVARS = sdenvars (varargin{:}); endif HWV = sdemrd (Speed, Level, zeros (NVARS, 1), Sigma, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/cfconv.m0000644000000000000000000000013212653547023015605 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/cfconv.m0000644000175000017500000000354412653547023017606 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2011 Hong Yu ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{cfConv} =} cfconv (@var{cf}, @var{yield}) ## Calculate convexity @var{cfConv} from given fixed-paid cash flow @var{cf} and ## period yield @var{yield}. ## ## Reference: ## ## [1] http://thismatter.com/money/bonds/duration-convexity.htm ## ## [2] http://en.wikipedia.org/wiki/Bond_convexity ## ## @seealso{cfdur} ## @end deftypefn function [cfConv] = cfconv (cf, yield) if ( nargin != 2 ) print_usage (); elseif ( ! isscalar(yield) ) error("yield: must be scalar"); elseif ( rows(cf) != 1 ) error("Cash Flow: must be 1xN"); endif v_idx = 1:columns(cf); t1 = (1+yield) .^ (-v_idx); t2 = ((v_idx .^ 2) + v_idx) .* t1; cfConv = (cf*t2') / (cf*t1') / (1+yield) / (1+yield); endfunction %!demo %! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; %! yield = 0.025; %! cfConv = cfconv( cf, yield ); %! %-------------------------------------------------- %! % Input cash flow and yield, output convexity %!test %! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; %! cfConv = cfconv( cf, 0.025 ); %! errVal = round(cfConv*(1e+4))*(1e-4) - 90.4493; %! errVal = round(errVal*(1e+10)); %! assert(errVal, 0) financial-0.5.0/inst/PaxHeaders.10530/nweekdate.m0000644000000000000000000000013212653547023016276 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/nweekdate.m0000644000175000017500000001137112653547023020274 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {last =} nweekdate (n, weekday, year, month, nextday) ## ## Returns the @var{n}th occurrence of @var{weekday} from the ## @var{month} and @var{year}. If the optional @var{nextday} argument ## is given, then the week must also contain @var{nextday}. If @var{n} ## is greater than the number of occurrences of that day in the month, 0 ## is returned. ## ## @seealso{eomdate, lweekdate, weekday} ## @end deftypefn function t = nweekdate (varargin) if nargin < 4 || nargin > 5 error ("4 or 5 input arguments are required") elseif nargin == 4 varargin{5} = 0; endif ## special handling so that most of this code will not need to be ## duplicated in lweekdate do_lweekdate = is_lweekdate(varargin{1}); if do_lweekdate varargin{1} = 1; endif scale = cellfun (@numel, varargin); if ~ all (scale == 1 | scale == max(scale)); error("All inputs must be either scalars or have the same number of elements"); else ## make sure that the sizes are the same for any non-scalar inputs ind = find (scale > 1); if length(ind) > 1 for i = 2:length (ind) if ndims (varargin{ind(1)}) ~= ndims (varargin{ind(i)}) error("Mismatching dimensions on inputs %d and %d", ind(1), ind(i)); elseif ~ all (size (varargin{ind(1)}) == size (varargin{ind(i)})) error("The sizes of inputs %d and %d do not match", ind(1), ind(i)); endif endfor endif endif if max(scale) > 1 t = zeros (size (varargin{ind(1)})); for i = 1:numel (varargin{ind(1)}) args = cell(5,1); for j = 1:5 if isscalar (varargin{j}) args{j} = varargin{j}; else args{j} = varargin{j}(i); endif endfor if do_lweekdate args{1} = "lweekdate"; end t(i) = nweekdate (args{:}); endfor else ## Do the real work. n = varargin{1}; wd = varargin{2}; y = varargin{3}; mon = varargin{4}; nextday = varargin{5}; ## Find the day of the week for the last day of the mon. doml = eomday (y, mon); dowl = weekday (datenum (y, mon, doml)); ## Make sure that the day is in the weeks for the last then the ## first week. if (wd < nextday) || (dowl < wd) ## adjust the last day adjust = 7; else adjust = 0; endif dom = sort((doml - dowl + wd - adjust):-7:1); if nextday && (dom(1) <= wd - nextday) # adjust the first day dom(1) = []; endif if do_lweekdate t = datenum (y, mon, dom(end)); elseif n > length(dom) t = 0; else t = datenum (y, mon, dom(n)); end endif endfunction function v = is_lweekdate(v) if ischar(v) if strcmp (v, "lweekdate") v = true(); else error("Invalid input for n") endif else v = false(); endif endfunction # Tests for all calling options # Find the first Wednesday in Jan 2008 %!assert(nweekdate(1, 4, 2008, 1), datenum(2008, 1, 2)) # Find the second Wednesday in Jan 2008 %!assert(nweekdate(2, 4, 2008, 1), datenum(2008, 1, 9)) # Find the third Wednesday in Jan 2008 %!assert(nweekdate(3, 4, 2008, 1), datenum(2008, 1, 16)) # Find the fourth Wednesday in Jan 2008 %!assert(nweekdate(4, 4, 2008, 1), datenum(2008, 1, 23)) # Find the fifth Wednesday in Jan 2008 %!assert(nweekdate(5, 4, 2008, 1), datenum(2008, 1, 30)) # Find the sixth Wednesday in Jan 2008, it doesn't exist, so return 0 %!assert(nweekdate(6, 4, 2008, 1), 0) # Find the fifth Friday in Jan 2008, it doesn't exist, so return 0 %!assert(nweekdate(5, 6, 2008, 1), 0) # Find the first Wednesday in Jan 2008 in the same week as a Monday # WARNING: it is unclear from the Matlab docs if this should work or if # this should be called the second Wednesday in Jan 2008. %!assert(nweekdate(1, 4, 2008, 1, 2), datenum(2008, 1, 9)) # Find the fifth Wednesday in Jan 2008 in the same week as a Friday. # It doesn't exist, so return 0 %!assert(nweekdate(5, 4, 2008, 1, 6), 0) # Try vector arguments %!assert(nweekdate(1:6, 4, 2008, 1, 6), [datenum(2008, 1, 2:7:23), 0, 0]) # Try the lweekdate operation of this function: # Find the last Wednesday in Jan 2008 %!assert(nweekdate('lweekdate', 4, 2008, 1), datenum(2008, 1, 30)) # Find the last Wednesday in Jan 2008 with a Friday %!assert(nweekdate('lweekdate', 4, 2008, 1, 6), datenum(2008, 1, 23)) financial-0.5.0/inst/PaxHeaders.10530/blsprice.m0000644000000000000000000000013212653547023016132 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blsprice.m0000644000175000017500000000561212653547023020131 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{Call}, @var{Put}] =} blsprice (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {[@var{Call}, @var{Put}] =} blsprice (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Compute European call and put option prices. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the European call and put option prices using the Black-Scholes ## model. ## ## @seealso{blskprice, blsdelta, blsgamma, blsimpv, blslambda, blsrho, blstheta, blsvega} ## @end deftypefn function [Call, Put] = blsprice (Price, Strike, Rate, Time, Volatility, ... Yield = 0) if (nargin < 5 || nargin > 6) print_usage (); endif blscheck ("blsprice", Price, Strike, Rate, Time, Volatility, Yield); sigma_sqrtT = Volatility .* sqrt (Time); d1 = 1 ./ sigma_sqrtT .* (log (Price ./ Strike) + (Rate - Yield + ... Volatility.^2 / 2) .* Time); d2 = d1 - sigma_sqrtT; phi1 = normcdf (d1); phi2 = normcdf (d2); disc = exp (-Rate .* Time); F = Price .* exp ((Rate - Yield) .* Time); Call = disc .* (F .* phi1 - Strike .* phi2 ); Put = disc .* (Strike .* (1 - phi2) + F .* (phi1 - 1)); endfunction ## Tests %!test %! [Call, Put] = blsprice (90:10:110, 100, 0.04, 1, 0.2, 0.01); %! assert (Call, [4.4037 9.3197 16.1217], 1e-4) %! assert (Put, [11.3781 6.3937 3.2952], 1e-4) ## Test input validation %!error blsprice () %!error blsprice (1) %!error blsprice (1, 2) %!error blsprice (1, 2, 3) %!error blsprice (1, 2, 3, 4) %!error blsprice ("invalid", "type", "argument", 4, 5) %!error blsprice ({1, 2, 3}, [2 7 8], [8 3 1], 4, 10) financial-0.5.0/inst/PaxHeaders.10530/npv.m0000644000000000000000000000013212653547023015132 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/npv.m0000644000175000017500000000407712653547023017135 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-2000, 2002, 2004-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} npv (@var{r}, @var{p}, @var{i}) ## Net present value of a series of payments. ## ## Returns the net present value of a series of irregular (i.e., not ## necessarily identical) payments @var{p} which occur at the ends of @var{n} ## consecutive periods. @var{r} specifies the one-period interest rates and ## can either be a scalar (constant rates) or a vector of the same ## length as @var{p}. ## ## The optional argument @var{i} may be used to specify an initial ## investment. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @seealso{irr, pv} ## @end deftypefn function v = npv (r, p, i) if (nargin < 2 || nargin > 3) print_usage (); endif if (! (isvector (p))) error ("npv: p has to be a vector"); else n = length (p); p = reshape (p, 1, n); endif if (any (any (r <= -1))) error ("npv: all interest rates must be > -1"); endif if (isscalar (r)) d = 1 ./ (1 + r) .^ (0 : n); elseif (isvector (r) && (length (r) == n)) d = [1, (1 ./ cumprod (reshape (1 + r, 1, n)))]; else error ("npv: r must be a scalar or a vector of the same length as p"); endif if (nargin == 3) if (! isscalar (i)) error ("npv: I_0 must be a scalar"); endif else i = 0; endif p = [i, p]; v = sum (d .* p); endfunction financial-0.5.0/inst/PaxHeaders.10530/blsdelta.m0000644000000000000000000000013012653547023016117 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/blsdelta.m0000644000175000017500000000521512653547023020117 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{CallDelta}, @var{PutDelta}] =} blsdelta (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {[@var{CallDelta}, @var{PutDelta}] =} blsdelta (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the Black-Scholes delta, the rate of change of the option value with ## respect to the value of the underlying asset. ## ## @seealso{blsgamma, blslambda, blsprice, blsrho, blstheta, blsvega} ## @end deftypefn function [CallDelta, PutDelta] = blsdelta (Price, Strike, Rate, Time, ... Volatility, Yield = 0) if (nargin < 5 || nargin > 6) print_usage (); endif blscheck ("blsdelta", Price, Strike, Rate, Time, Volatility, Yield); d1 = 1 ./ (Volatility .* sqrt (Time)) .* (log (Price ./ Strike) + ... (Rate - Yield + Volatility .^2 / 2) .* Time); phi = normcdf (d1); CallDelta = exp (-Yield .* Time) .* phi; PutDelta = exp (-Yield .* Time) .* (phi - 1); endfunction ## Tests %!test %! [CallDelta, PutDelta] = blsdelta (90:10:110, 100, 0.04, 1, 0.2, 0.01); %! assert (CallDelta, [0.3871 0.5927 0.7586], 1e-4) %! assert (PutDelta, [-0.6030 -0.3973 -0.2314], 1e-4) ## Test input validation %!error blsdelta () %!error blsdelta (1) %!error blsdelta (1, 2) %!error blsdelta (1, 2, 3) %!error blsdelta (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/private0000644000000000000000000000013212653547023015546 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.890291909 30 ctime=1454296595.890291909 financial-0.5.0/inst/private/0000755000175000017500000000000012653547023017616 5ustar00pazimzadpazimzad00000000000000financial-0.5.0/inst/private/PaxHeaders.10530/fetch_google.m0000644000000000000000000000013212653547023020426 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/private/fetch_google.m0000644000175000017500000000772112653547023022430 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {[@var{data} @var{fields}] =} ## fetch_google (@var{conn}, @var{symbol}, @var{fromdate}, @var{todate}, @var{period}) ## ## Download stock data from google. (Helper for fetch.) ## ## @var{fields} are the data fields returned by Google. ## ## @var{fromdate} and @var{todate} is the date datenum for the requested ## date range. If you enter today's date, you will get yesterday's ## data. ## ## @var{period} (default: "d") allows you to select the period for the ## data which can be any of ## @itemize @bullet ## @item 'd': daily ## @end itemize ## ## @seealso{google, fetch} ## @end deftypefn ## FIXME: Actually use the proxy info if given in the connection. ## FIXME: Do not ignore the fields input. function [data fields] = fetch_google (conn=[], symbol="", fromdate, todate, period="d") pkg load io; if strcmpi(period, "w") error("Google Financial no longer supports weekly stock data"); endif periods = struct("d", "daily"); if strcmpi (conn.url, "http://finance.google.com") fromdatestr = datestr (fromdate); todatestr = datestr (todate); ## http://finance.google.com/finance/historical?q=T&startdate=Sep+1%2C+2007&enddate=Aug+31%2C+2008&histperiod=weekly&output=csv geturl = sprintf (["http://finance.google.com/finance/" ... "historical?" ... "q=%s&startdate=%s&enddate=%s&" ... "histperiod=%s&output=csv"], symbol, fromdatestr, todatestr, periods.(period)); ## FIXME: This would be more efficient if csv2cell could work on ## strings instead of files. [f, success, msg] = urlwrite (geturl, tmpnam ()); if ! success error (["Could not write Google data to tmp file:" ... "\n%s\nURL was:\n%s"], msg, geturl) endif d = csv2cell (f); d{1,1} = d{1,1}(4:end); # Remove byte order mark (BOM) unlink(f); ## Pull off the header fields = d(1,:); d(1,:) = []; ## Put the dates into datenum format data = [datenum(datevec(d(:,1), "dd-mmm-yy")), ... cell2mat(d(:,2:end))]; ## Note that google appears to have an off-by-one error in ## returning historical data, so make sure that we only return the ## requested data and not what Google sent. data((data(:,1) < fromdate) | (data(:,1) > todate), :) = []; else error ("Non-google connection passed to google fetch") endif endfunction %!shared fgood, dgood, wgood %! fgood = {"Date", "Open", "High", "Low", "Close", "Volume"}; %! dgood = [732501,34.77,34.87,34.25,34.62,15520553; %! 732500,33.87,34.77,33.72,34.63,16360297; %! 732499,34.64,34.97,34.03,34.12,13694806; %! 732498,34.25,35.08,34.20,34.60,16103029; %! 732494,34.76,34.85,34.22,34.44,9875220]; %! wgood = [732501,34.25,35.08,33.72,34.62,60859400; %! 732494,35.88,36.24,34.22,34.44,67132100]; %!test %! [d f] = fetch_google (google(), "yhoo", 732494, 732501, "d"); %! assert(d, dgood, eps); %! assert(f, fgood, eps); ## test that the automatic period works %!test %! [d f] = fetch_google (google(), "yhoo", 732494, 732501); %! assert(d, dgood, eps); %! assert(f, fgood, eps); ## Test that weekly fails %!test %! fail ('fetch_google (google(), "yhoo", 732494, 732501, "w")', ".*weekly.*") financial-0.5.0/inst/private/PaxHeaders.10530/blscheck.m0000644000000000000000000000013212653547023017557 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/private/blscheck.m0000644000175000017500000000517312653547023021560 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 CarnÍ Draug ## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{Call}, @var{Put}] =} blscheck (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {[@var{Call}, @var{Put}] =} blscheck (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Performs input checking for the bls* functions. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Parent} The calling function. ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Performs input checking for the bls* functions. All variables must be the ## same size matrix. @var{Price}, @var{Strike}, @var{Time}, @var{Volatility} ## must be positive. ## ## @seealso{blsprice} ## @end deftypefn function blscheck (Parent, Price, Strike, Rate, Time, Volatility, Yield = 0) ## FIXME: Error on negative Price, Strike, Time, Volatility, Yield persistent names = {"PRICE", "STRIKE", "RATE", "TIME", "VOLATILITY", "YIELD"}; inputs = {Price, Strike, Rate, Time, Volatility, Yield}; numerics = cellfun (@isnumeric, inputs); if (! all (numerics)) error ("%s: inputs must be numeric", Parent); endif scalars = cellfun (@isscalar, inputs); if (! all (scalars)) sizes = cellfun (@size, inputs(! scalars), "UniformOutput", false); if (! all (cellfun (@(x) isequal (sizes{1}, x), sizes))) error ("%s: matrix arguments must all have the same size", Parent); endif endif end financial-0.5.0/inst/private/PaxHeaders.10530/sdenvars.m0000644000000000000000000000013212653547023017626 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/private/sdenvars.m0000644000175000017500000000301412653547023021617 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{NVARS}] =} (@dots{}) ## Attempts to infer and return the number of state variables from optional SDE ## arguments. ## ## @end deftypefn function NVARS = sdenvars (varargin) if (mod (nargin, 2) == 1) error ("sde: optional arguments must be specified in key-value pairs"); endif NVARS = 0; for i = 1:length(varargin)/2 key = varargin{2*i-1}; value = varargin{2*i}; if (! (ischar (key) && isvector (key))) continue; endif switch (key) case "StartState" if (isreal (value)) NVARS = size (value, 1); endif endswitch endfor if (NVARS <= 0) error ("sde: unable to infer NVARS; you must specify the StartState option as a nonempty vector or matrix"); endif endfunction financial-0.5.0/inst/private/PaxHeaders.10530/fetch_yahoo.m0000644000000000000000000000013212653547023020271 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/private/fetch_yahoo.m0000644000175000017500000000711612653547023022271 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {[@var{data} @var{fields}] =} ## fetch_yahoo (@var{conn}, @var{symbol}, @var{fromdate}, @var{todate}, @var{period}) ## ## Download stock data from yahoo. (Helper for fetch.) ## ## @var{fields} are the data fields returned by Yahoo. ## ## @var{fromdate} and @var{todate} is the date datenum for the requested ## date range. If you enter today's date, you will get yesterday's ## data. ## ## @var{period} (default: "d") allows you to select the period for the ## data which can be any of ## @itemize @bullet ## @item 'd': daily ## @item 'w': weekly ## @item 'm': monthly ## @item 'v': dividends ## @end itemize ## ## @seealso{yahoo, fetch} ## @end deftypefn ## FIXME: Actually use the proxy info if given in the connection. ## FIXME: Do not ignore the fields input. function [data fields] = fetch_yahoo (conn=[], symbol="", fromdate, todate, period="d") pkg load io; if strcmpi (conn.url, "http://quote.yahoo.com") fromdate = datevec (fromdate); todate = datevec (todate); geturl = sprintf (["http://ichart.finance.yahoo.com/table.csv" ... "?s=%s&d=%d&e=%d&f=%d&g=%s&a=%d&b=%d&c=%d&" ... "ignore=.csv"], symbol, todate(2)-1, todate(3), todate(1), period, fromdate(2)-1, fromdate(3), fromdate(1)); ## FIXME: This would be more efficient if csv2cell could work on ## strings instead of files. [f, success, msg] = urlwrite (geturl, tmpnam ()); if ! success error ("Could not write Yahoo data to tmp file:\n%s", msg) endif d = csv2cell (f); unlink(f); ## Pull off the header fields = d(1,:); d(1,:) = []; dates = strvcat (d(:,1)); dates = datenum(str2num(dates(:,1:4)), str2num(dates(:,6:7)), str2num(dates(:,9:10))); data = [dates, cell2mat(d(:,2:end))]; else error ("Non-yahoo connection passed to yahoo fetch") endif endfunction %!shared fgood, dgood %! fgood = {"Date", "Open", "High", "Low", "Close", "Volume", "Adj Close"}; %! dgood = [732501,34.77,34.87,34.25,34.62,15515400,34.62; %! 732500,33.87,34.77,33.72,34.63,16354300,34.63; %! 732499,34.64,34.97,34.03,34.12,13585700,34.12; %! 732498,34.25,35.08,34.20,34.60,16086700,34.60; %! 732494,34.76,34.85,34.22,34.44,9861600,34.44]; %!test %! [d f] = fetch_yahoo (yahoo(), "yhoo", 732494, 732501, "d"); %! assert(d, dgood, 1e-5); %! assert(f, fgood, 1e-5); ## test that the automatic period works %!test %! [d f] = fetch_yahoo (yahoo(), "yhoo", 732494, 732501); %! assert(d, dgood, 1e-5); %! assert(f, fgood, 1e-5); ## The test below fails because yahoo gives a different volume on 732498 ##%!xtest ##%! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005", "w"); ##%! assert(d, dgood(4:5,:), 1e-5); ##%! assert(f, fgood, 1e-5); financial-0.5.0/inst/PaxHeaders.10530/nomrr.m0000644000000000000000000000013212653547023015464 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/nomrr.m0000644000175000017500000000222612653547023017461 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{return} =} nomrr (@var{rate}, @var{numperiods}) ## Compute the nominal rate of return based on a effective @var{rate} ## over a number of periods, @var{numperiods}. ## @seealso{irr, effrr} ## @end deftypefn function rate = nomrr (rate, numperiods) if (nargin != 2) print_usage (); endif rate = numperiods.*((1+rate).^(1./numperiods) - 1); endfunction ## Tests %!assert (nomrr (0.0938, 12), 0.09, 0.00005) financial-0.5.0/inst/PaxHeaders.10530/weeknum.m0000644000000000000000000000013212653547023016002 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/weeknum.m0000644000175000017500000001217312653547023020001 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Ronald van der Meer ## ## This program is free software; you can redistribute it and/or modify it ## under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program. If not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{n}, @var{y}] =} weeknum (@var{d}) ## @deftypefnx {Function File} {[@var{n}, @var{y}] =} weeknum (@var{d}, @var{w}) ## @deftypefnx {Function File} {[@var{n}, @var{y}] =} weeknum (@var{d}, @var{w}, @var{e}) ## Return the week number of the year of a date ## ## @var{d} is a serial date number or datestring. ## ## @var{w} is (optionally) the day that defines the first day of the week ## (1 is Sunday, 2 is Monday etc.). Default is 1 (Sunday). ## ## @var{e} is a boolean to toggle the "European" definition that the first ## week should contain at least 4 days of the new year. (And hence always ## contains 4th of January). Default is 0, in which case the first week of ## the year is the week that contains the first day of the year. ## ## Please note that when @var{e} is zero, days in a week that overlap two ## years do not all return the same weeknumber. ## ## @var{y} will be the year in which the week falls. ## When e=0 (default) @var{y} will always be the year of the input date. ## When e=1, the week may be in the next or previous year. ## ## @emph{Note}: In ISO8601 weeks start with Monday. The first week of a year ## is the week that contains at least 4 days (and hence contains the first ## Thursday of the year and also always contains the 4th of January). ## So for an ISO8601 weeknumber use: @code{@var{n} = weeknum (@var{d}, 2, 1)}. ## ## @seealso{datenum, datestr} ## @end deftypefn function [n, y] = weeknum (d, w = 1, e = false) if (nargin < 1 || nargin > 3) print_usage (); elseif (! isscalar (w) || w < 1 || w > 7) error ("weeknum: W must be a scalar between 1 and 7"); endif if (isa (d, "char")) d = datenum (d); endif d = floor (d); # reduce resolution to days ## first day of the week considering the week start day in w firstdayofweek = d - mod (weekday (d) - w, 7); y = year (d); if (e) firstdayofnextyear = datenum (y + 1, 1, 1); ## when week has 3 or less days in this year, so it falls in next year inextyear = find ((firstdayofnextyear - firstdayofweek) < 4); y(inextyear) = y(inextyear) + 1; ## when week has 4 or more days in previous year, so it falls in the ## previous year iprevyear = find (datenum (y, 1, 1) - firstdayofweek > 3); y(iprevyear) = y(iprevyear) - 1; ## by "european" definition first week contains the 4th of januari dayinfirstweek = datenum (y, 1, 4); else ## otherwise the first week is defined by the week that contains the ## first day of the year dayinfirstweek=datenum(y,1,1); endif firstdayoffirstweek = dayinfirstweek - mod (weekday (dayinfirstweek) - w, 7); n = (firstdayofweek - firstdayoffirstweek) / 7 + 1; endfunction %!assert (weeknum (728647), 52) ## Test vector inputs for both directions %!assert (weeknum ([728647 728848]), [52 27]) %!assert (weeknum ([728647 ;728648]), [52 ;52]) %!assert (weeknum ([736413 736813 ; 737213 737613]), [13 17 ; 22 28]) ## Tests ISO examples from http://en.wikipedia.org/wiki/ISO_week_date %!assert (weeknum (datenum (2005, 01, 01), 2, 1), 53) %!assert (weeknum (datenum (2005, 01, 02), 2, 1), 53) %!assert (weeknum (datenum (2005, 12, 31), 2, 1), 52) %!assert (weeknum (datenum (2007, 01, 01), 2, 1), 1) %!assert (weeknum (datenum (2007, 12, 30), 2, 1), 52) %!assert (weeknum (datenum (2007, 12, 31), 2, 1), 1) %!assert (weeknum (datenum (2008, 01, 01), 2, 1), 1) %!assert (weeknum (datenum (2008, 12, 28), 2, 1), 52) %!assert (weeknum (datenum (2008, 12, 29), 2, 1), 1) %!assert (weeknum (datenum (2008, 12, 30), 2, 1), 1) %!assert (weeknum (datenum (2008, 12, 31), 2, 1), 1) %!assert (weeknum (datenum (2009, 01, 01), 2, 1), 1) %!assert (weeknum (datenum (2009, 12, 31), 2, 1), 53) %!assert (weeknum (datenum (2010, 01, 01), 2, 1), 53) %!assert (weeknum (datenum (2010, 01, 02), 2, 1), 53) %!assert (weeknum (datenum (2010, 01, 03), 2, 1), 53) ##A vector which combines next- and previous year exceptions %!assert (weeknum ([datenum(2005, 1, 1) datenum(2008, 12, 29)], 2, 1), [53 1]) %!test %! [n, y] = weeknum (datenum (2010, 1, 3), 2, 1); %! assert ([n y],[53 2009]) ##http://www.mathworks.com/help/finance/weeknum.html says weeknum('08-jan-2004',1,1) ##should be 2 but this is not correct occording to their own definition %!demo %! d = datenum (2014, 12, 29); %! [w, y] = weeknum (datenum (2014, 12, 29), 2, 1); %! disp(['In ISO8601 ' datestr(d) ' is week ' num2str(w) ' of year ' num2str(y)]) %! disp(['Octave default weeknumber for ' datestr(d) ' is ' num2str(weeknum (d))]) financial-0.5.0/inst/PaxHeaders.10530/onbalvol.m0000644000000000000000000000013212653547023016143 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/onbalvol.m0000644000175000017500000000365512653547023020147 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{obv} =} onbalvol (@var{closeprice}, @var{vol}) ## @deftypefnx {Function File} {@var{obv} =} onbalvol ([@var{closeprice} @var{vol}]) ## ## Compute the on balance volume of a security based on its closing ## price (@var{closeprice}) and @var{vol}ume. They may be given as ## separate arguments or as an nx2 matrix. ## ## The output will be a column vector, and the first number in the ## output is always 0. ## ## @seealso{negvolidx, posvolidx} ## @end deftypefn function obv = onbalvol (c, vol) if nargin == 1 % do nothing elseif nargin == 2 c = [c(:) vol(:)]; else print_usage (); endif obv = zeros (size (c, 1), 1); for i = 2:size (c, 1) if c(i,1) > c(i-1,1) obv(i) = obv(i-1) + c(i,2); elseif c(i,1) < c(i-1,1) obv(i) = obv(i-1) - c(i,2); else obv(i) = obv(i-1); endif endfor endfunction ## Tests %!shared c, v, obv %! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; %! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28]; %! obv = [0 12 35 60 94 82 50 35 50 84 138 150 236 281 249 173 84 97 69]'; %!assert(onbalvol(c, v), obv) %!assert(onbalvol([c' v']), obv) financial-0.5.0/inst/PaxHeaders.10530/heston.m0000644000000000000000000000013212653547023015627 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/heston.m0000644000175000017500000000664212653547023017632 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{heston} =} heston (@var{Return}, @var{Speed}, @var{Level}, @var{Volatility}) ## @deftypefnx {Function File} {@var{heston} =} heston (@var{Return}, @var{Speed}, @var{Level}, @var{Volatility}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a Heston stochastic volatility model: ## ## @center dX_1 = (@var{Return}(t) * X_1)dt + (sqrt (X_2) * X_1)dW_1; ## @center dX_2 = (@var{Speed}(t) * (@var{Level}(t) - X_2))dt + (sqrt (X_2) * @var{Volatility}(t))dW_2. ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{sde} ## @end deftypefn function heston = heston (Return, Speed, Level, Volatility, varargin) if (nargin < 4) print_usage (); endif if (isscalar (Return) && isreal (Return)) ReturnFunction = @(t, X) Return; elseif (isa (Return, "function_handle") && nargin (Return) == 1) ReturnFunction = @(t, X) Return (t); elseif (isa (Return, "function_handle") && nargin (Return) == 2) ReturnFunction = Return; else error ("heston: RETURN must either be a real scalar or a function of one or two arguments returning such a scalar"); endif if (isscalar (Speed) && isreal (Speed)) SpeedFunction = @(t, X) Speed; elseif (isa (Speed, "function_handle") && nargin (Speed) == 1) SpeedFunction = @(t, X) Speed (t); elseif (isa (Speed, "function_handle") && nargin (Speed) == 2) SpeedFunction = Speed; else error ("heston: SPEED must either be a real scalar or a function of one or two arguments returning such a scalar"); endif if (isscalar (Level) && isreal (Level)) LevelFunction = @(t, X) Level; elseif (isa (Level, "function_handle") && nargin (Level) == 1) LevelFunction = @(t, X) Level (t); elseif (isa (Level, "function_handle") && nargin (Level) == 2) LevelFunction = Level; else error ("heston: LEVEL must either be a real scalar or a function of one or two arguments returning such a scalar"); endif if (isscalar (Volatility) && isreal (Volatility)) VolatilityFunction = @(t, X) Volatility; elseif (isa (Volatility, "function_handle") && nargin (Volatility) == 1) VolatilityFunction = @(t, X) Volatility (t); elseif (isa (Volatility, "function_handle") && nargin (Volatility) == 2) VolatilityFunction = Volatility; else error ("heston: VOLATILITY must either be a real scalar or a function of one or two arguments returning such a scalar"); endif ## TODO: Optimize Drift = @(t, X) [ReturnFunction(t, X) * X(1); SpeedFunction(t, X) * (LevelFunction(t, X) - X(2))]; Diffusion = @(t, X) [sqrt(X(2)) * X(1) 0.;0. VolatilityFunction(t, X) * sqrt(X(2))]; heston = sde (Drift, Diffusion, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/rate.m0000644000000000000000000000013212653547023015262 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/rate.m0000644000175000017500000000534212653547023017261 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2004-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}) ## @deftypefnx {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}, @var{l}) ## @deftypefnx {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}, @var{l}, @var{method}) ## @deftypefnx {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}, @var{method}) ## Return the rate of return @var{r} on an investment of present value @var{v} ## which pays @var{p} in @var{n} consecutive periods. ## ## The optional argument @var{l} may be used to specify an additional ## lump-sum payment made at the end of @var{n} periods. ## ## The optional string argument @var{method} may be used to specify ## whether payments are made at the end (@code{"e"}, default) or at the ## beginning (@code{"b"}) of each period. ## @seealso{pv, pmt, nper, npv} ## @end deftypefn function r = rate (n, p, v, l = 0, m = "e") if (nargin < 3 || nargin > 5) print_usage (); elseif (!isnumeric (n) || !isscalar (n) || n <= 0) error ("number of consecutive periods `n' must be a positive scalar"); elseif (!isnumeric (p) || !isscalar (p)) error ("second argument `p' must be a numeric scalar"); elseif (!isnumeric (v) || !isscalar (v)) error ("present value `v' must be a numeric scalar"); ## the following checks is to allow using default value for `l' while specifying `m' elseif (nargin == 5) if (!isnumeric (l) || !isscalar (l)) error ("value of additional lump-sum payment `l' must be numeric scalar"); elseif (!ischar (m)) error ("`method' must be a string") endif elseif (nargin == 4) if (ischar (l)) m = l; l = 0; # default value for `l' again elseif (!isnumeric (l) || !isscalar (l)) error ("fourth argument must either be a numeric scalar for lump-sum payment `l' or a string for `method'"); endif endif if (!any (strcmpi (m, {"e","b"}))) error ("`method' must either be `e' or `b") endif f = @(x) pv (x, n, p, l, m) - v; r = fsolve (f, 0); endfunction financial-0.5.0/inst/PaxHeaders.10530/eomdate.m0000644000000000000000000000013212653547023015745 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/eomdate.m0000644000175000017500000000253712653547023017747 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{e} =} eomdate (@var{y}, @var{m}) ## Return the last day of the month @var{m} for the year @var{y} in ## datenum format. ## @seealso{datenum, datevec, weekday, eomday} ## @end deftypefn function e = eomdate (y, m) if (nargin != 2) print_usage (); endif d = eomday (y, m); e = datenum (y, m, d); endfunction ## Tests ## Leap years %!assert(eomdate(2008, 2), datenum(2008, 2, 29)) %!assert(eomdate(2007, 2), datenum(2007, 2, 28)) ## Vectors %!assert(eomdate([2008 2007], [3 4]), [datenum(2008, 3, 31) datenum(2007, 4, 30)]) %!assert(eomdate([2008;2007], [3;4]), [datenum(2008, 3, 31);datenum(2007, 4, 30)]) financial-0.5.0/inst/PaxHeaders.10530/fetch.m0000644000000000000000000000013212653547023015420 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/fetch.m0000644000175000017500000001160712653547023017420 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {@var{data} =} fetch (@var{conn}, @var{symbol}) ## @deftypefnx {@var{data} =} fetch (@dots{}, @var{fields}) ## @deftypefnx {@var{data} =} fetch (@dots{}, @var{date}) ## @deftypefnx {@var{data} =} fetch (@dots{}, @var{fromdate}, @var{todate}) ## @deftypefnx {@var{data} =} fetch (@dots{}, @var{period}) ## @deftypefnx {[@var{data}, @var{fields}] =} fetch (@dots{}) ## ## Download stock data from a connection. ## ## @var{fields} are the data fields to download and must come from the ## set ## @itemize @bullet ## @item "Symbol" ## @item "Last" ## @item "Date" ## @item "Time" ## @item "Change" ## @item "Open" ## @item "High", ## @item "Low" ## @item "Volume" ## @end itemize ## ## As an output, @var{fields} may be different than your request. This ## is because there is mapping of field names from the data source to ## the output, and what is returned is the source mapping to allow ## validation. ## ## @var{date} is the date string or datenum for the requested data. If ## you enter today's date, you will get yesterday's data. @var{fromdate} ## and @var{todate} allow you to specify a date range for the data. ## ## @var{period} (default: "d") allows you to select the period for the ## data which can be any of the below as long as they are supported by ## the associated backend. ## @itemize @bullet ## @item 'd': daily ## @item 'w': weekly (Yahoo only) ## @item 'm': monthly (Yahoo only) ## @item 'v': dividends (Yahoo only) ## @end itemize ## ## @seealso{yahoo, google} ## @end deftypefn ## FIXME: Actually use the proxy info if given in the connection. ## FIXME: Do not ignore the fields input. function [data fields] = fetch (conn=[], symbol="", varargin) fields = {"Symbol", "Last", "Date", "Time", "Change", "Open", ... "High", "Low", "Volume"}; fromdate = []; todate = []; period = "d"; firstdate = datenum (1900, 1, 1); lastdate = today (); if isempty (conn) ## By default, use yahoo now since it's the only connection ## currently available. conn = yahoo (); endif if isempty (symbol) error ("The ticker symbol must be given") elseif ! ischar (symbol) error ("The symbol must be either a string") endif for i = 1:numel (varargin) if ischar (varargin{i}) && (length (varargin{i}) == 1) period = varargin{i}; elseif iscellstr (varargin{i}) || ischar (varargin{i}) ## if it's a character and it's a valid date, make it into our ## dates if ischar (varargin{i}) thisdate = []; try thisdate = datenum (varargin{i}); if isempty (fromdate) fromdate = thisdate; endif todate = thisdate; end_try_catch endif if isempty (thisdate) fields = varargin{i}; warning ("Fields are currently ignored and all data is returned") endif thisdate = []; elseif isnumeric (varargin{i}) ## it must be our dates if isempty (fromdate) fromdate = varargin{i}; endif todate = varargin{i}; else error ("Invalid input for argument %d", i + 2) endif endfor if isempty (fromdate) fromdate = firstdate; todate = lastdate; endif if strcmpi (conn.url, "http://quote.yahoo.com") [data fields] = fetch_yahoo (conn, symbol, fromdate, todate, period); elseif strcmpi (conn.url, "http://finance.google.com") [data fields] = fetch_google (conn, symbol, fromdate, todate, period); else error ("Unrecgonized connection type") endif endfunction %!shared fgood, dgood %! fgood = {"Date", "Open", "High", "Low", "Close", "Volume", "Adj Close"}; %! dgood = [732501,34.77,34.87,34.25,34.62,15515400,34.62; %! 732500,33.87,34.77,33.72,34.63,16354300,34.63; %! 732499,34.64,34.97,34.03,34.12,13585700,34.12; %! 732498,34.25,35.08,34.20,34.60,16086700,34.60; %! 732494,34.76,34.85,34.22,34.44,9861600,34.44]; %!test %! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005"); %! assert(d, dgood, 1e-5); %! assert(f, fgood, 1e-5); ## The test below fails because yahoo gives a different volume on 732498 ##%!xtest ##%! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005", "w"); ##%! assert(d, dgood(4:5,:), 1e-5); ##%! assert(f, fgood, 1e-5); financial-0.5.0/inst/PaxHeaders.10530/sdemrd.m0000644000000000000000000000013212653547023015605 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/sdemrd.m0000644000175000017500000000654112653547023017606 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{SDE} =} sdemrd (@var{Speed}, @var{Level}, @var{Alpha}, @var{Sigma}) ## @deftypefnx {Function File} {@var{SDE} =} sdemrd (@var{Speed}, @var{Level}, @var{Alpha}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a stochastic differential equation (SDE) in ## in mean-reverting drift-rate form: ## ## @center dX_t = (@var{Speed}(t) * (@var{Level}(t) - X_t))dt + (diag(X_t.^@var{Alpha}(t)) * @var{Sigma}(t))dW_t. ## ## @itemize @bullet ## @item (X_t) is an NVARS-dimensional process; ## @item (W_t) is an NBROWNS-dimensional Wiener process. ## @end itemize ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Speed} An NVARS-by-NVARS matrix or a function. As a function, ## @var{Speed} returns an NVARS-by-NVARS matrix and has either exactly one input ## (time: @var{Speed}(t)) or exactly two inputs (time and space: ## @var{Speed}(t, X_t)). ## @item ## Variable: @var{Level} An NVARS-by-1 vector or a function. As a function, ## @var{Level} returns an NVARS-by-1 vector and has either exactly one input ## (time: @var{Level}(t)) or exactly two inputs (time and space: ## @var{Level}(t, X_t)). ## @end itemize ## ## The parameters @var{Alpha} and @var{Sigma} appear in the @@sde/diffusion ## documentation. ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{drift, diffusion, sde} ## @end deftypefn function SDE = sdemrd (Speed, Level, Alpha, Sigma, varargin) if (nargin < 4) print_usage (); endif if (ismatrix (Speed) && isreal (Speed)) SpeedFunction = @(t, X) Speed; NegativeSpeed = @(t, X) -Speed; elseif (isa (Speed, "function_handle") && nargin (Speed) == 1) SpeedFunction = @(t, X) Speed (t); NegativeSpeed = @(t, X) -Speed (t); elseif (isa (Speed, "function_handle") && nargin (Speed) == 2) SpeedFunction = Speed; NegativeSpeed = -Speed; else error ("sdemrd: SPEED must either be a real matrix or a function of one or two arguments returning such a matrix."); endif if (iscolumn (Level) && isreal (Level)) LevelFunction = @(t, X) Level; elseif (isa (Level, "function_handle") && nargin (Level) == 1) LevelFunction = @(t, X) Level (t); elseif (isa (Level, "function_handle") && nargin (Level) == 2) LevelFunction = Level; else error ("sdemrd: LEVEL must either be a real column vector or a function of one or two arguments returning such a vector."); endif SpeedLevel = @(t, X) SpeedFunction (t, X) * LevelFunction (t, X); Drift = drift (SpeedLevel, NegativeSpeed); Diffusion = diffusion (Alpha, Sigma); SDE = sde (Drift, Diffusion, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/lweekdate.m0000644000000000000000000000013012653547023016272 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/lweekdate.m0000644000175000017500000000242012653547023020265 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {last =} lweekdate (weekday, year, month, nextday) ## ## Returns the last occurrence of @var{weekday} from the @var{month} and ## @var{year}. If the optional @var{nextday} argument is given, then ## the week must also contain @var{nextday}. ## ## @seealso{eomdate, nweekdate, weekday} ## @end deftypefn function t = lweekdate (varargin) if nargin < 3 || nargin > 4 error ("3 or 4 input arguments are required") elseif nargin == 3 varargin{4} = 0; endif t = nweekdate ("lweekdate", varargin{:}); endfunction ## Tests are in nweekdate financial-0.5.0/inst/PaxHeaders.10530/opprofit.m0000644000000000000000000000013212653547023016171 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/opprofit.m0000644000175000017500000000455712653547023020177 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{Profit} =} opprofit (@var{AssetPrice}, @var{Strike}, @var{Cost}, @var{PosFlag}, @var{OptType}) ## Compute profit of an option. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{AssetPrice} The price of the underlying asset at the expiry time. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Cost} The premium paid/charged for the option. ## @item ## Variable: @var{PosFlag} Option position. 0 = long, 1 = short. ## @item ## Variable: @var{OptType} Option type. 0 = call option, 1 = put option. ## @end itemize ## ## @seealso{binprice, blsprice} ## @end deftypefn function Profit = opprofit (AssetPrice, Strike, Cost, PosFlag, OptType) if (nargin != 5) print_usage (); elseif (! isbool (PosFlag) && any (PosFlag(:) != 0 & PosFlag(:) != 1)) error ("opprofit: POSFLAG must be logical, 0 (long) or 1 (short)"); elseif (! isbool (OptType) && any (OptType(:) != 0 & OptType(:) != 1)) error ("opprofit: OPTTYPE must be logical, 0 (call) or 1 (put)"); end pos = -2 * PosFlag + 1; opt = -2 * OptType + 1; Profit = pos .* (max (opt .* (AssetPrice - Strike), 0) - Cost); endfunction ## Tests %!assert (opprofit (100, 90, 4, 0, 0), 6) %!assert (opprofit (80:20:120, 90, 4, 0, 0), [-4 6 26]) %!assert (opprofit (80:20:120, 80:20:120, 0, 0, 0), [0 0 0]) %!assert (opprofit (100, 90, 4, [0 0 1 1], [0 1 0 1]), [6 -4 -6 4]) ## Test input validation %!error opprofit () %!error opprofit (1) %!error opprofit (1, 2) %!error opprofit (1, 2, 3) %!error opprofit (1, 2, 3, 4) %!error opprofit (1, 2, 3, 4, 0) %!error opprofit (1, 2, 3, 0, 5) financial-0.5.0/inst/PaxHeaders.10530/sdeddo.m0000644000000000000000000000013212653547023015571 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/sdeddo.m0000644000175000017500000000372112653547023017567 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{SDE} =} sdeddo (@var{DriftRate}, @var{DiffusionRate}) ## @deftypefnx {Function File} {@var{SDE} =} sdeddo (@var{DriftRate}, @var{DiffusionRate}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a stochastic differential equation (SDE) using ## drift and diffusion objects: ## ## @center dX_t = @var{DriftRate}(t, X_t)dt + @var{DiffusionRate}(t, X_t)dW_t. ## ## @itemize @bullet ## @item (X_t) is an NVARS-dimensional process; ## @item (W_t) is an NBROWNS-dimensional Wiener process. ## @end itemize ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{DriftRate} A drift object. ## @item ## Variable: @var{DiffusionRate} A diffusion object. ## @end itemize ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{drift, diffusion, sde} ## @end deftypefn function SDE = sdeddo (DriftRate, DiffusionRate, varargin) if (nargin < 2) print_usage (); endif if (! isa (DriftRate, "drift")) error ("sdeddo: DRIFTRATE must be a drift object"); endif if (! isa (DiffusionRate, "diffusion")) error ("sdeddo: DIFFUSIONRATE must be a diffusion object"); endif SDE = sde (DriftRate, DiffusionRate, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/second.m0000644000000000000000000000013212653547023015602 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/second.m0000644000175000017500000000300112653547023017567 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2013 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} second (@var{date}) ## @deftypefnx {Function File} {} second (@var{date}, @var{f}) ## Return seconds of a date. ## ## For a given @var{date} in a serial date number or date string format, ## returns its seconds. The optional variable @var{f}, specifies the ## format string used to interpret date strings. ## ## @seealso{date, datevec, now, hour, minute} ## @end deftypefn function t = second (varargin) if (nargin < 1 || nargin > 2) print_usage (); elseif (nargin >= 2 && ! ischar (varargin{2})) error ("second: F must be a string"); endif t = datevec (varargin{:})(:,6); endfunction %!assert (second (451482.906781456), 45.918, 0.01) %!assert (second ("1967-09-21 11:56:34", "yyyy-mm-dd HH:MM:SS"), 34) financial-0.5.0/inst/PaxHeaders.10530/binprice.m0000644000000000000000000000013012653547023016120 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/binprice.m0000644000175000017500000001413512653547023020121 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{AssetPrice}, @var{OptionValue}] =} binprice (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Increment}, @var{Volatility}, @var{OptType}) ## @deftypefnx {Function File} {[@var{AssetPrice}, @var{OptionValue}] =} binprice (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Increment}, @var{Volatility}, @var{OptType}, @var{DividendRate}) ## @deftypefnx {Function File} {[@var{AssetPrice}, @var{OptionValue}] =} binprice (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Increment}, @var{Volatility}, @var{OptType}, @var{DividendRate}, @var{Dividend}, @var{ExDiv}) ## Compute American call and put option prices using a binomial tree. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Increment} Time increment. @var{Increment} is rounded to ## ensure that @var{Time}/@var{Increment} is an integer. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{OptType} Option type. 1 = call option, 0 = put option. ## @item ## Variable: @var{DividendRate} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @item ## Variable: @var{Dividend} (Optional, default = 0) The dividend payment at an ## ex-dividend date as specified by @var{ExDiv}. ## @item ## Variable: @var{ExDiv} (Optional, default = 0) A vector used to determine the ## ex-dividend dates. For each j, @var{ExDiv}(j) * @var{Increment} is the ## corresponding dividend date. ## @end itemize ## ## Computes the American call and put option prices using the ## Cox-Ross-Rubinstein binomial tree. ## ## Discrete dividends (i.e. @var{Dividend} and @var{ExDiv}) have not yet been ## implemented. ## ## Binomial trees are a particular explicit finite difference method for solving ## the Black-Scholes equation (see ## @cite{M. Rubinstein. On the relation between binomial and trinomial option ## pricing models. Journal of Derivatives, 8(2):47-50, 2000}), ## and exhibit linear convergence along with the usual strict stability ## requirements of an explicit method. ## The serious practitioner should consider using a more ## sophisticated method, and use binomial trees only for explanatory or ## heuristic purposes. ## ## @seealso{blkprice, blsprice} ## @end deftypefn function [AssetPrice, OptionValue] = binprice (Price, Strike, Rate, Time, ... Increment, Volatility, ... OptType, DividendRate = 0, ... Dividend = 0, ExDiv = 0 ) ## Input checking if (nargin < 7 || nargin > 10) print_usage (); elseif (! isbool (OptType) && ! isequal (OptType, 0) && ... ! isequal (OptType, 1)) error ("binprice: OPTTYPE must be logical, 0 (call) or 1 (put)"); elseif (! isscalar (Price) || ! isscalar (Strike) || ! isscalar (Rate) || ... ! isscalar (Increment) || !isscalar (Volatility) || ... !isscalar (DividendRate)) error ("binprice: all inputs except DIVIDEND and EXDIV must be scalars"); elseif (! isreal (Price) || Price < 0) error ("binprice: PRICE must be a nonnegative number"); elseif (! isreal (Strike) || Strike < 0) error ("binprice: STRIKE must be a nonnegative number"); elseif (! isreal (Rate)) error ("binprice: RATE must be a number"); elseif (! isreal (Time) || Time <= 0) error ("binprice: TIME must be a positive number"); elseif (! isreal (Increment) || Increment <= 0) error ("binprice: INCREMENT must be a positive number"); elseif (! isreal (Volatility) || Volatility < 0) error ("binprice: VOLATILITY must be a nonnegative number"); elseif (! isreal (DividendRate)) error ("binprice: DIVIDENDRATE must be a number"); elseif (! isequal (Dividend, 0) || ! isequal (ExDiv, 0)) error ("binprice: DIVIDEND and EXDIV not yet implemented"); endif ## Storage N = round ( Time / Increment ) + 1; AssetPrice = OptionValue = zeros (N); Increment = Time / (N - 1); ## Return from up and down moves u = exp (Volatility * sqrt (Increment)); d = 1 / u; ## Martingale measure a = exp (Rate * Increment); p = (a * exp (-DividendRate * Increment) - d) / (u - d); q = 1 - p; ## Build tree AssetPrice(1, 1) = Price; for n = 2:N AssetPrice(1:(n - 1), n) = u * AssetPrice(1:(n - 1), n - 1); AssetPrice(n, n) = d * AssetPrice(n - 1, n - 1); endfor ## Initial condition opt = 2 * OptType - 1; OptionValue(:, N) = max (opt * (AssetPrice(:, N) - Strike), 0); ## Time-stepping loop for n = (N - 1):-1:1 HoldValue = (q * OptionValue(2:(n + 1), n + 1) + ... p * OptionValue(1:n, n + 1)) / a; OptionValue(1:n, n) = max (HoldValue, opt * (AssetPrice(1:n, n) - Strike)); endfor endfunction ## Tests %!test %! [AssetPrice, OptionValue] = binprice (100, 100, 0.04, 1, 0.25, 0.2, 0, 0.01); %! assert (OptionValue(1:2,1:2), [6.4701 2.2159; 0 11.0776], 1e-4) ## Test input validation %!error binprice () %!error binprice (1) %!error binprice (1, 2) %!error binprice (1, 2, 3) %!error binprice (1, 2, 3, 4) %!error binprice (1, 2, 3, 4, 5) %!error binprice (1, 2, 3, 4, 5, 6) financial-0.5.0/inst/PaxHeaders.10530/pointfig.m0000644000000000000000000000013212653547023016146 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/pointfig.m0000644000175000017500000000501712653547023020144 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} pointfig (@var{asset}) ## ## Plot the point figure chart of an @var{asset}. Upward price ## movements are plotted as Xs and downward movements are plotted as Os. ## ## @seealso{bolling, candle, dateaxis, highlow, movavg} ## @end deftypefn function pointfig (asset) if nargin != 1 print_usage (); endif upmask = asset(2:end) > asset(1:end-1); # if the data is equal, it will not change the trend equalmask = asset(2:end) == asset(1:end-1); downmask = asset(2:end) < asset(1:end-1); lx = 0; ly = 0; direction = 0; up = zeros(0,2); down = zeros(0,2); for i = 1:length (upmask) if direction > 0 && (upmask(i) || equalmask(i)) ## moving in the same direction as previously: up ly += 1; up(end+1,:) = [lx ly]; elseif direction < 0 && (downmask(i) || equalmask(i)) ## moving in the same direction as previously: down ly -= 1; down(end+1,:) = [lx ly]; else ## moving in a different direction than previously lx += 1; if upmask(i) up(end+1,:) = [lx ly]; direction = 1; else down(end+1,:) = [lx ly]; direction = -1; endif endif endfor hstat = ishold(); hold("on"); plot(up(:,1), up(:,2), "x", "color", [0 0 1]); plot(down(:,1), down(:,2), "o", "color", [1 0 0]); if ! hstat hold("off"); endif endfunction ## Tests %!shared a %! a = [1 2 3 2 4 2 1]; %!test %! [s l] = movavg(a, 2, 4); %! assert(s, [1 1.5 2.5 2.5 3 3 1.5]) %! assert(l, [1 1.5 2 2 2.75 2.75 2.25]) %!test %! [s l] = movavg(a', 2, 4); %! assert(s, [1;1.5;2.5;2.5;3;3;1.5]) %! assert(l, [1;1.5;2;2;2.75;2.75;2.25]) %!test %! [s l] = movavg(a, 3, 4, 1); %! assert(s, [3 4.8 7 7 9.5 8 5.5]./3, 10*eps) %! assert(l, [1 11/7 20/9 2.2 3 2.7 2], 10*eps) financial-0.5.0/inst/PaxHeaders.10530/bm.m0000644000000000000000000000013212653547023014725 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/bm.m0000644000175000017500000000300112653547023016712 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{BM} =} bm (@var{Mu}, @var{Sigma}) ## @deftypefnx {Function File} {@var{BM} =} bm (@var{Mu}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent an arithmetic Brownian motion: ## ## @center dX_t = @var{Mu}(t)dt + @var{Sigma}(t)dW_t. ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{sde} ## @end deftypefn function BM = bm (Mu, Sigma, varargin) if (nargin < 2) print_usage (); endif ## Infer NVARS NVARS = 0; if (isnumeric (Mu)) NVARS = rows (Mu); elseif (isnumeric (Sigma)) NVARS = rows (Sigma); else NVARS = sdenvars (varargin{:}); endif BM = sdeld (Mu, zeros (NVARS, NVARS), zeros (NVARS, 1), Sigma, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/pmt.m0000644000000000000000000000013212653547023015127 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/pmt.m0000644000175000017500000000373012653547023017125 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000-2002, 2004-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} pmt (@var{r}, @var{n}, @var{a}, @var{l}, @var{method}) ## Return the amount of periodic payment necessary to amortize a loan ## of amount a with interest rate @var{r} in @var{n} periods. ## ## The optional argument @var{l} may be used to specify a terminal ## lump-sum payment. ## ## The optional argument @var{method} may be used to specify whether ## payments are made at the end (@var{"e"}, default) or at the beginning ## (@var{"b"}) of each period. ## @seealso{pv, nper, rate} ## @end deftypefn function p = pmt (r, n, a, l, m) if (nargin < 3 || nargin > 5) print_usage (); endif if (! (isscalar (r) && r > -1)) error ("pmt: rate must be a scalar > -1"); elseif (! (isscalar (n) && n > 0)) error ("pmt: n must be a positive scalar"); elseif (! (isscalar (a) && a > 0)) error ("pmt: a must be a positive scalar"); endif if (nargin == 5) if (! ischar (m)) error ("pmt: `method' must be a string"); endif elseif (nargin == 4) if (ischar (l)) m = l; l = 0; else m = "e"; endif else l = 0; m = "e"; endif p = r * (a - l * (1 + r)^(-n)) / (1 - (1 + r)^(-n)); if (strcmp (m, "b")) p = p / (1 + r); endif endfunction financial-0.5.0/inst/PaxHeaders.10530/blslambda.m0000644000000000000000000000013212653547023016250 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blslambda.m0000644000175000017500000000670412653547023020252 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{CallEl}, @var{PutEl}] =} blslambda (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {[@var{CallEl}, @var{PutEl}] =} blslambda (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Computes elasticity of option under the Black-Scholes model. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the elasticity of an option under the Black-Scholes model. ## Elasticity measures the percent change in the option price per percent change ## in the underlying asset price. ## ## Update: the following bug has been fixed in MATLAB R2014a(5.3): ## There is a bug in the MATLAB version of blslambda in which the deltas of the ## option are not discounted by @var{Yield} in the nonzero dividend case. That ## is, they compute normcdf(d1) * S / V when they should compute ## exp(-Yield*T) * normcdf(d1) * S / V. At the time of writing, this bug is ## present in the financial toolbox shipped with R2013a. Both this version of ## blslambda and that shipped with R2013a agree when there are no dividends. ## ## @seealso{blsdelta, blsgamma, blsprice, blsrho, blstheta, blsvega} ## @end deftypefn function [CallEl, PutEl] = blslambda (Price, Strike, Rate, Time, ... Volatility, Yield = 0) if (nargin < 5 || nargin > 6) print_usage (); endif blscheck ("blslambda", Price, Strike, Rate, Time, Volatility, Yield); [Call, Put] = blsprice (Price, Strike, Rate, Time, Volatility, Yield); [CallDelta, PutDelta] = blsdelta (Price, Strike, Rate, Time, Volatility, ... Yield); CallEl = CallDelta .* Price ./ Call; PutEl = PutDelta .* Price ./ Put; endfunction ## Tests %!test %! [CallEl, PutEl] = blslambda (90:10:110, 100, 0.04, 1, 0.2); %! assert (CallEl, [7.7536 6.2258 5.0647], 1e-4) %! assert (PutEl, [-4.8955 -6.3639 -7.8941], 1e-4) %!test %! [CallEl, PutEl] = blslambda (90:10:110, 100, 0.04, 1, 0.2, 0.01); %! assert (CallEl, [7.9108 6.3601 5.1762], 1e-4) %! assert (PutEl, [-4.7695 -6.2139 -7.7255], 1e-4) ## Test input validation %!error blslambda () %!error blslambda (1) %!error blslambda (1, 2) %!error blslambda (1, 2, 3) %!error blslambda (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/months.m0000644000000000000000000000013012653547023015635 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/months.m0000644000175000017500000000436412653547023017641 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {mos =} months (startdate, enddate) ## @deftypefnx {Function File} {mos =} months (startdate, enddate, endmonthflag) ## ## Return the number of whole months between @var{startdate} and ## @var{enddate}. @var{endmonthflag} defaults to 1. ## ## If @var{endmonthflag} is true, then if both the @var{startdate} and ## the @var{enddate} are end of month dates and @var{enddate} has fewer ## days in the month than @var{startdate}, @var{endmonthflag} = 1 treats ## @var{enddate} as the end of a month, but @var{endmonthflag} = 0 does ## not. ## ## @seealso{yeardays, yearfrac} ## @end deftypefn function mos = months (startdate, enddate, endmonthflag = 1) if (nargin < 2 || nargin > 3) print_usage (); endif s = datevec (startdate); e = datevec (enddate); s_eom = (s(:,3) == eomday(s(:,1), s(:,2))); e_eom = (e(:,3) == eomday(e(:,1), e(:,2))); ## Handle the end of the month correctly dayadj = ((s(:,3) > e(:,3)) & endmonthflag & s_eom & e_eom); mos = 12*(e(:,1) - s(:,1)) + (e(:,2) - s(:,2)) - (s(:,3) > e(:,3)) + dayadj; endfunction ## Tests %!assert(months('may 31 2004', 'jun 30 2004'), 1) %!assert(months({'may 31 2004' 'may 30 2004'}, 'jun 30 2004'), [1;1]) %!assert(months('may 31 2004', 'jun 30 2004', 1), 1) %!assert(months({'may 31 2004' 'may 30 2004'}, 'jun 30 2004', 1), [1;1]) %!assert(months('may 31 2004', 'jun 30 2004', 0), 0) %!assert(months({'may 31 2004' 'may 30 2004'}, 'jun 30 2004', 0), [0;1]) %!assert(months('jun 30 2005', 'june 30 2006'), 12) %!assert(months('jun 30 2005', 'june 29 2006'), 11) financial-0.5.0/inst/PaxHeaders.10530/busdate.m0000644000000000000000000000013212653547023015756 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/busdate.m0000644000175000017500000001013612653547023017752 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {b =} busdate (refdate) ## @deftypefnx {Function File} {b =} busdate (refdate, direction) ## @deftypefnx {Function File} {b =} busdate (refdate, direction, holiday) ## @deftypefnx {Function File} {b =} busdate (refdate, direction, holiday, weekend) ## ## Return the datenum of the next or previous business day from ## @var{refdate}. @var{direction} indicates the next day (default) if 1 ## and the previous day if -1. @var{holiday} is a vector of datenums ## that defines the holidays observed (the holidays function is used if ## not given). @var{weekend} defines the days of the week that should ## be considered weekends; [1 0 0 0 0 0 1] (default) indicates that ## Sunday and Saturday are holidays. ## ## If any of the optional inputs (@var{direction}, @var{holiday}, ## @var{weekend}) are empty, then the default is used. ## ## @seealso{holidays, lbusdate, isbusday, fbusdate} ## @end deftypefn function rd = busdate (rd, d, hol, wkend) if ~isnumeric (rd) rd = datenum ( rd); endif if nargin < 2 || isempty (d) d = 1; elseif ~ all (abs (d) == 1) ## People could use other numbers to skip days, but that is not ## supported. error ("directions must all be either 1 or -1.") endif if nargin < 3 hol = []; end if nargin < 4 wkend = []; elseif nargin > 4 print_usage (); endif rd += d; mask = ~isbusday (rd, hol, wkend); while any (mask) ## Only recompute for the days that are not yet business days if isscalar (d) rd(mask) += d; else rd(mask) += d(mask); endif mask(mask) = ~isbusday (rd(mask), hol, wkend); endwhile endfunction ## Tests ## A normal day %!assert(busdate(datenum(2008,1,2)), datenum(2008,1,3)) ## A holiday %!assert(busdate(datenum(2007,12,31)), datenum(2008,1,2)) ## Go over a weekend and start in a weekend %!assert(busdate(datenum(2007,1,5)), datenum(2007,1,8)) %!assert(busdate(datenum(2007,1,6)), datenum(2007,1,8)) ## Backward %!assert(busdate(datenum(2008,1,3), -1), datenum(2008,1,2)) ## Backward holiday %!assert(busdate(datenum(2008,1,2), -1), datenum(2007,12,31)) ## Backward with alternate holidays %!assert(busdate(datenum(2008,1,2), -1, datenum(2007,1,1):datenum(2008,1,1)), datenum(2006,12,29)) ## Multiple dates in both orientations %!assert(busdate([datenum(2008,1,2) datenum(2007,1,1)]), [datenum(2008,1,3) datenum(2007,1,3)]) %!assert(busdate([datenum(2008,1,2) datenum(2007,1,1)], [1 1]), [datenum(2008,1,3) datenum(2007,1,3)]) %!assert(busdate([datenum(2008,1,2) datenum(2007,1,1)], 1), [datenum(2008,1,3) datenum(2007,1,3)]) %!assert(busdate([datenum(2008,1,2);datenum(2007,1,1)], [1;1]), [datenum(2008,1,3);datenum(2007,1,3)]) ## Multiple dates with opposite directions holidays and weekends %!assert(busdate([datenum(2008,1,2);datenum(2007,1,2)], [1;-1]), [datenum(2008,1,3);datenum(2006,12,29)]) ## Alternate weekends %!assert(busdate(datenum(2008,1,2), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,3)) %!assert(busdate(datenum(2008,1,4), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,5)) %!assert(busdate(datenum(2008,1,5), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,7)) %!assert(busdate(datenum(2008,1,6), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,7)) %!assert(busdate(datenum(2008,1,1), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 1 1 1 1 1 0]), datenum(2008,1,5)) financial-0.5.0/inst/PaxHeaders.10530/cev.m0000644000000000000000000000013212653547023015104 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/cev.m0000644000175000017500000000330512653547023017100 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{CEV} =} cev (@var{Return}, @var{Alpha}, @var{Sigma}) ## @deftypefnx {Function File} {@var{CEV} =} cev (@var{Return}, @var{Alpha}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a constant elasticity of variance (CEV) ## stochastic differential equation (SDE): ## ## @center dX_t = (@var{Return}(t) * X_t)dt + (diag(X_t.^@var{Alpha}(t)) * @var{Sigma}(t))dW_t ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{sde} ## @end deftypefn function CEV = cev (Return, Alpha, Sigma, varargin) if (nargin < 3) print_usage (); endif ## Infer NVARS NVARS = 0; if (isnumeric (Return)) NVARS = rows (Return); elseif (isnumeric (Alpha)) NVARS = rows (Alpha); elseif (isnumeric (Sigma)) NVARS = rows (Sigma); else NVARS = sdenvars (varargin{:}); endif CEV = sdeld (zeros (NVARS, 1), Return, Alpha, Sigma, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/negvolidx.m0000644000000000000000000000013212653547023016326 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/negvolidx.m0000644000175000017500000000624012653547023020323 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{nvi} =} negvolidx (@var{closeprice}, @var{vol}) ## @deftypefnx {Function File} {@var{nvi} =} negvolidx ([@var{closeprice} @var{vol}]) ## @deftypefnx {Function File} {@var{nvi} =} negvolidx (@var{closeprice}, @var{vol}, @var{initnvi}) ## @deftypefnx {Function File} {@var{nvi} =} negvolidx ([@var{closeprice} @var{vol}], @var{initnvi}) ## ## Compute the negative volume index of a security based on its closing ## price (@var{closeprice}) and @var{vol}ume. They may be given as ## separate arguments or as an nx2 matrix. If given, the @var{initnvi} ## is the starting value of the nvi (default: 100). ## ## The @var{nvi} will always be a column vector. ## ## @seealso{onbalvol, posvolidx} ## @end deftypefn function nvi = negvolidx (c, vol, initnvi) default_nvi = 100; nvi = zeros (length (c), 1); if isvector (c) if nargin < 2 ## a closing price was given without a volume print_usage (); elseif isscalar (vol) ## probably initnvi was given as the second argument print_usage (); elseif !isvector (vol) print_usage (); elseif length (c) != length (vol) error ("closeprice and vol must be the same length"); endif c = [c(:) vol(:)]; if nargin < 3 nvi(1) = default_nvi; else nvi(1) = initnvi; endif elseif size (c, 2) != 2 error ("If given as a matrix, c must have exactly two columns.") elseif size (c, 2) == 2 if nargin == 2 nvi(1) = vol; else nvi(1) = default_nvi; endif else print_usage (); endif ## Start doing the work for i = 2:size (c, 1) nvi(i) = nvi(i-1) + (c(i,2) < c(i-1,2))*nvi(i-1)*(c(i,1)-c(i-1,1))/c(i-1,1); endfor endfunction ## Tests %!shared c, v, nvia, nvib %! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; %! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28]; %! nvia = [100 100 100 100 100 99.44349315 99.44349315 98.49559157 98.49559157 98.49559157 98.49559157 98.78565011 98.78565011 100.7353669 98.13574451 98.13574451 98.13574451 99.14355704 99.14355704]'; %! nvib = [5 5 5 5 5 4.972174658 4.972174658 4.924779578 4.924779578 4.924779578 4.924779578 4.939282505 4.939282505 5.036768344 4.906787226 4.906787226 4.906787226 4.957177852 4.957177852]'; %!assert(negvolidx(c, v), nvia, 1e-5) %!assert(negvolidx([c' v']), nvia, 1e-5) %!assert(negvolidx(c, v, 5), nvib, 1e-5) %!assert(negvolidx([c' v'], 5), nvib, 1e-5) financial-0.5.0/inst/PaxHeaders.10530/yeardays.m0000644000000000000000000000013212653547023016150 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/yeardays.m0000644000175000017500000000565312653547023020154 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{d} =} yeardays (@var{y}) ## @deftypefnx {Function File} {@var{d} =} yeardays (@var{y}, @var{b}) ## Return the number of days in the year @var{y} with an optional basis ## @var{b}. ## ## Valid bases ## @itemize @bullet ## @item 0 ## actual/actual (default) ## @item 1 ## 30/360 (SIA) ## @item 2 ## actual/360 ## @item 3 ## actual/365 ## @item 4 ## 30/360 (PSA) ## @item 5 ## 30/360 (IDSA) ## @item 6 ## 30/360 (European) ## @item 7 ## actual/365 (Japanese) ## @item 8 ## actual/actual (ISMA) ## @item 9 ## actual/360 (ISMA) ## @item 10 ## actual/365 (ISMA) ## @item 11 ## 30/360E (ISMA) ## @end itemize ## @seealso{days365, days360, daysact, daysdif} ## @end deftypefn function d = yeardays (y, basis) if (nargin == 1) basis = 0; elseif (nargin != 2) print_usage (); endif if isscalar (y) d = zeros (size (basis)); elseif isscalar (basis) ## the rest of the code is much simpler if you can be sure that ## basis is a matrix if y is a matrix basis = basis * ones (size (y)); d = zeros (size (y)); else if ndims (y) == ndims (basis) if ~ all (size (y) == size (basis)) error ("year and basis must be the same size or one must be a scalar"); else d = zeros (size (y)); endif else error ("year and basis must be the same size or one must be a scalar.") endif endif bact = ismember (basis(:), [0 8]); b360 = ismember (basis(:), [1 2 4 5 6 9 11]); b365 = ismember (basis(:), [3 7 10]); badbasismask = ~ (bact | b360 | b365); if any (badbasismask) badbasis = unique (basis(badbasismask)); error ("Unsupported basis: %g\n", badbasis) endif d(bact) = 365 + (eomday(y(bact), 2) == 29); d(b360) = 360; d(b365) = 365; endfunction ## Tests %!assert(yeardays(2000), 366) %!assert(yeardays(2001), 365) %!assert(yeardays(2000:2004), [366 365 365 365 366]) %!assert(yeardays(2000, 0), 366) %!assert(yeardays(2000, 1), 360) %!assert(yeardays(2000, 2), 360) %!assert(yeardays(2000, 3), 365) %!assert(yeardays(2000, 4), 360) %!assert(yeardays(2000, 5), 360) %!assert(yeardays(2000, 6), 360) %!assert(yeardays(2000, 7), 365) %!assert(yeardays(2000, 8), 366) %!assert(yeardays(2000, 9), 360) %!assert(yeardays(2000, 10), 365) %!assert(yeardays(2000, 11), 360) financial-0.5.0/inst/PaxHeaders.10530/today.m0000644000000000000000000000013212653547023015447 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/today.m0000644000175000017500000000221112653547023017436 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {datenum =} today () ## Returns the current local date as the number of days since Jan 1, 0000. ## By this reckoning, Jan 1, 1970 is day number 719529. ## ## The returned number corresponds to 00:00:00 today. ## ## The returned value is also called a "serial date number" ## (see @code{datenum}). ## @seealso{clock, date, datenum, now} ## @end deftypefn function t = today () t = floor (now ()); endfunction financial-0.5.0/inst/PaxHeaders.10530/macd.m0000644000000000000000000000013012653547023015231 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/macd.m0000644000175000017500000000663212653547023017235 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Adam Thompson ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{macdvec, nineperma}] =} macd (@var{data}) ## @deftypefnx {Function File} {[@var{macdvec, nineperma}] =} macd (@var{data}, @var{dim}) ## ## Calculate the Moving Average Convergence/Divergence (MACD) ## line of an asset from the vector of prices (@var{data}). ## Also calculate the nine-period exponential moving average ## from the MACD line. If given, @var{dim} indicates whether ## each row is a set of observations (dim = 2) or each ## column is a set of observations (dim = 1, the default). ## ## The MACD line is calculated as the twelve-period ## exponential moving average (EMA) minus the 26-period EMA. ## Closing prices are typically used for the moving ## averages. The nine-period EMA of the MACD line is used as ## the signal line. ## @end deftypefn function [macdvec, nineperma] = macd (data, dim = 1) ## Constants: S_PER = 12; L_PER = 26; SL_PER = 9; ## End constants ## Check input and set the defaults if nargin < 1 || nargin > 2 print_usage (); elseif nargin < 2 dim = 1; endif if dim == 2 data = data'; end ## MACD line: ## 12-day EMA: alpha = 2 / (S_PER + 1); sma = mean(data(1:12)); s_ema = filter (alpha, [1 (alpha - 1)], data(12:end), sma * (1 - alpha)); # Formula for calculating EMA provided by James Sherman, Jr. # http://octave.1599824.n4.nabble.com/vectorized-moving-average-td2132090.html ## 26-day EMA: alpha = 2 / (L_PER + 1); sma = mean(data(1:26)); l_ema = filter (alpha, [1 (alpha - 1)], data(26:end), sma * (1 - alpha)); ## MACD: s_ema = [nan(1,11) s_ema]; l_ema = [nan(1,25) l_ema]; macdvec = s_ema - l_ema; sma = mean(macdvec(26:34)); ## Signal line: alpha = 2 / (SL_PER + 1); nineperma = filter (alpha, [1 (alpha - 1)], macdvec(34:end), sma * (1 - alpha)); nineperma = [nan(1,33) nineperma]; endfunction ## Tests %!shared d, m, n, a, b %! d = [46.84 47.07 45.92 47.24 47.64 47.3 48.22 46.98 46.41 44.78 46.29 47.99 47.47 49.19 48.85 48.13 49.13 50.91 51.01 50.48 50.88 51.2 50.85 50.16 48.44 49.1 47.67 45.43 46.47 48.76 50.08 50.74 51.91 51.11 49.36 48.96 49.28 49.02 48.24 49.71]; %! m = [NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN 1.10928 0.87603 0.50460 0.29081 0.30268 0.41383 0.54884 0.74170 0.82053 0.73334 0.62476 0.55810 0.47877 0.34894 0.36051]; %! n = [NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN 0.66262 0.67677 0.66636 0.64471 0.61152 0.55901 0.51931]; %! [a, b] = macd (d); %!assert([a, b], [m, n], 0.0001) %! [a, b] = macd (d, 1); %!assert([a, b], [m, n], 0.0001) %! [a, b] = macd (d', 2); %!assert([a, b], [m, n], 0.0001) financial-0.5.0/inst/PaxHeaders.10530/daysact.m0000644000000000000000000000013212653547023015757 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/daysact.m0000644000175000017500000000454012653547023017755 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2007 David Bateman ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} daysact (@var{d1}) ## @deftypefnx {Function File} {} daysact (@var{d1}, @var{d2}) ## Calculates the number of days between two dates. If the second date is not ## given, calculate the number of days since 1-Jan-0000. The variables @var{d1} ## and @var{d2} can either be strings or an @var{n}-row string matrix. If both ## @var{d1} and @var{d2} are string matrices, then the number of rows must ## match. An example of the use of @code{daysact} is ## ## @example ## @group ## daysact ("01-Jan-2007", ["10-Jan-2007"; "23-Feb-2007"; "23-Jul-2007"]) ## @result{} 9 ## 53 ## 203 ## @end group ## @end example ## @seealso{datenum} ## @end deftypefn function days = daysact (d1, d2) if (nargin == 1) nr = size (d1, 1); if (nr != 1) days = zeros (nr,1); for i = 1 : nr days (i) = datenum (d1 (i,:)); endfor else days = datenum(d1); endif elseif (nargin == 2) nr1 = size (d1, 1); nr2 = size (d2, 1); if (nr1 != nr2 && nr1 != 1 && nr2 != 1) error ("daysact: size mismatch"); endif if (nr1 == 1 && nr2 == 1) days = datenum (d2) - datenum(d1); elseif (nr1 == 1) days = zeros (nr2, 1); for i = 1 : nr2 days(i) = datenum (d2 (i,:)) - datenum (d1); endfor elseif (nr2 == 1) days = zeros (nr1, 1); for i = 1 : nr1 days(i) = datenum (d2) - datenum (d1 (i,:)); endfor else days = zeros (nr1, 1); for i = 1 : nr1 days(i) = datenum (d2 (i, :)) - datenum (d1 (i,:)); endfor endif else print_usage(); endif endfunction %!assert (daysact ("01-Jan-2007", ["10-Jan-2007"; "23-Feb-2007"; "23-Jul-2007"]),[9;53;203]) financial-0.5.0/inst/PaxHeaders.10530/@sde0000644000000000000000000000013112653547023014746 xustar0029 mtime=1454296595.82695851 30 atime=1454296595.890291909 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/0000755000175000017500000000000012653547023017017 5ustar00pazimzadpazimzad00000000000000financial-0.5.0/inst/@sde/PaxHeaders.10530/subsref.m0000644000000000000000000000013012653547023016651 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/subsref.m0000644000175000017500000000254112653547023020650 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function v = subsref (SDE, idx) if (! isa (SDE, "sde")) error ("object must be of the sde class but '%s' was used", class (SDE)); elseif (! strcmp (idx(1).type, ".") || numel (idx) > 1) error ("incorrect syntax to reference sde object. Use obj.prop to access properties."); endif switch (idx.subs) case "Drift", v = SDE.Drift; case "Diffusion", v = SDE.Diffusion; case "StartTime", v = SDE.StartTime; case "StartState", v = SDE.StartState; case "Correlation", v = SDE.Correlation; case "Simulation", v = SDE.Simulation; otherwise error ("sde: unknown property '%s'", idx.subs); endswitch endfunction financial-0.5.0/inst/@sde/PaxHeaders.10530/simulate.m0000644000000000000000000000013012653547023017023 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/simulate.m0000644000175000017500000000533712653547023021030 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{Paths}, @var{Times}, @var{Z}] =} simulate (@var{SDE}, @dots{}) ## Simulates a stochastic differential equation (SDE). ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{SDE} An sde object. ## @end itemize ## ## This method passes any additional arguments to the simulation routine ## specified by the sde object. ## ## The outputs are described below: ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Paths} (NPERIODS + 1)-by-NVARS-by-NTRIALS array consisting of ## the simulated paths. ## @item ## Variable: @var{Times} (NPERIODS + 1)-dimensional column vector of observation ## corresponding to the paths. ## @item ## Variable: @var{Z} (NPERIODS * NSTEPS)-by-NBROWNS-by-NTRIALS array of variates ## used to generate the process. ## @end itemize ## ## Below is an example simulating a two-dimensional process driven by two ## correlated Wiener processes: ## ## @example ## Asset1Price = 100.; Asset2Price = 90. ; ## Volatility1 = 0.2 ; Volatility2 = 0.3 ; ## Dividends1 = 0. ; Dividends2 = 0.005; ## RiskFreeRate = 0.04; ## Correlation = 0.5; ## ExpiryTime = 1.; ## ## Drift = drift ([0;0], [RiskFreeRate-Dividends1 0;0 RiskFreeRate-Dividends2]); ## Diffusion = diffusion ([1;1], [Volatility1 0;0 Volatility2]); ## ## M = 1000; # Number of simulations ## N = 10; # Number of timesteps ## ## SDE = sde (Drift, Diffusion, "StartState", [Asset1Price;Asset2Price], ... ## "Correlation", [1 Correlation;Correlation 1]); ## [Paths, ~, ~] = simulate (SDE, 1, "DeltaTime", ExpiryTime, ... ## "NTRIALS", M, "NSTEPS", N); ## @end example ## ## @seealso{@@sde/simByEuler} ## @end deftypefn function [Paths, Times, Z] = simulate (SDE, varargin) if (nargin < 1) print_usage(); endif if (! isa (SDE, "sde")) error("simulate: first argument must be an sde object"); endif [Paths, Times, Z] = SDE.Simulation (SDE, varargin{:}); endfunction ## Test input validation %!error simulate () %!error simulate (1) financial-0.5.0/inst/@sde/PaxHeaders.10530/subsasgn.m0000644000000000000000000000013012653547023017025 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/subsasgn.m0000644000175000017500000000466712653547023021037 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function SDE = subsasgn (SDE, idx, value) if (! isa (SDE, "sde")) error ("object must be of the sde class but '%s' was used", class (SDE)); elseif (! strcmp (idx(1).type, ".") || numel (idx) > 1) error ("incorrect syntax to reference sde object. Use obj.prop to access properties."); endif switch (idx.subs) case "Drift" SDE = sde ( value, SDE.Diffusion, "StartTime", SDE.StartTime, "StartState", SDE.StartState, "Correlation", SDE.Correlation, "Simulation", SDE.Simulation ); case "Diffusion" SDE = sde ( SDE.Drift, value, "StartTime", SDE.StartTime, "StartState", SDE.StartState, "Correlation", SDE.Correlation, "Simulation", SDE.Simulation ); case "StartTime" SDE = sde ( SDE.Drift, SDE.Diffusion, "StartTime", value, "StartState", SDE.StartState, "Correlation", SDE.Correlation, "Simulation", SDE.Simulation ); case "StartState" SDE = sde ( SDE.Drift, SDE.Diffusion, "StartTime", SDE.StartTime, "StartState", value, "Correlation", SDE.Correlation, "Simulation", SDE.Simulation ); case "Correlation" SDE = sde ( SDE.Drift, SDE.Diffusion, "StartTime", SDE.StartTime, "StartState", SDE.StartState, "Correlation", value, "Simulation", SDE.Simulation ); case "Simulation" SDE = sde ( SDE.Drift, SDE.Diffusion, "StartTime", SDE.StartTime, "StartState", SDE.StartState, "Correlation", SDE.Correlation, "Simulation", value ); otherwise error ("sde: unknown property '%s'", idx.subs); endswitch endfunction financial-0.5.0/inst/@sde/PaxHeaders.10530/display.m0000644000000000000000000000013212653547023016647 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/display.m0000644000175000017500000000300012653547023020633 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function display (SDE) NVARS = size (SDE.StartState, 1); NBROWNS = size (SDE.Diffusion (0, ones (NVARS, 1)), 2); if (isa (SDE.Correlation, "function_handle")) CorrelationString = func2str (SDE.Correlation); else CorrelationString = mat2str (SDE.Correlation); endif printf ("\n\ Class SDE: Stochastic Differential Equation\n\ -------------------------------------------\n\ Dimensions: State = %d, Brownian = %d\n\ -------------------------------------------\n\ StartTime: %f\n\ StartState: %s\n\ Correlation: %s\n\ Drift: %s\n\ Diffusion: %s\n\ Simulation: %s\n\n", NVARS, NBROWNS, SDE.StartTime, mat2str (SDE.StartState), CorrelationString, func2str (SDE.Drift), func2str (SDE.Diffusion), func2str (SDE.Simulation)); endfunction financial-0.5.0/inst/@sde/PaxHeaders.10530/sde.m0000644000000000000000000000013212653547023015755 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/sde.m0000644000175000017500000001376012653547023017757 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{SDE} =} sde (@var{DriftRate}, @var{DiffusionRate}) ## @deftypefnx {Function File} {@var{SDE} =} sde (@var{DriftRate}, @var{DiffusionRate}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a stochastic differential equation (SDE): ## ## @center dX_t = @var{DriftRate}(t, X_t)dt + @var{DiffusionRate}(t, X_t)dW_t. ## ## @itemize @bullet ## @item (X_t) is an NVARS-dimensional process; ## @item (W_t) is an NBROWNS-dimensional Wiener process. ## @end itemize ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{DriftRate} A drift object or function that returns an ## NVARS-by-1 vector. ## @item ## Variable: @var{DiffusionRate} A diffusion object or function that returns an ## NVARS-by-NBROWNS matrix. ## @end itemize ## ## A list of options recognized by sde are given below: ## @itemize @bullet ## @item StartTime - Time of the first observation. If unspecified, the default ## is 0. ## @item StartState - Scalar, NVARS-dimensional column vector, or ## NVARS-by-NTRIALS matrix of initial values of the state ## variables. ## If unspecified, X_0 is taken to be a vector of ones. ## @item Correlation - NBROWNS-by-NBROWNS real symmetric positive definite ## matrix specifying correlations between Wiener processes. ## For nonconstant correlation, a function of time returning ## an NBROWNS-by-NBROWNS matrix can be specified. ## If unspecified, the identity matrix is used. ## @item Simulation - Function handle pointing to simulation method. ## If unspecified, simByEuler is used. ## @end itemize ## ## @seealso{drift, diffusion} ## @end deftypefn function SDE = sde (DriftRate, DiffusionRate, varargin) ## Check number of arguments if (nargin < 2) print_usage(); elseif (mod (nargin, 2) == 1) error ("sde: optional arguments must be specified in key-value pairs"); endif ## Default parameters SDE.StartTime = 0.; SDE.Simulation = @simByEuler; if (isa (DriftRate, "drift")) SDE.Drift = DriftRate.Rate; elseif (isa (DriftRate, "function_handle") && nargin (DriftRate) == 2) SDE.Drift = DriftRate; else error ("sde: DRIFTRATE must be an object of the drift class or a function with two inputs"); endif if (isa (DiffusionRate, "diffusion")) SDE.Diffusion = DiffusionRate.Rate; elseif (isa (DiffusionRate, "function_handle") && nargin (DiffusionRate) == 2) SDE.Diffusion = DiffusionRate; else error ("sde: DIFFUSIONRATE must be an object of the drift class or a function with two inputs"); endif ## Parse options UserSpecifiedStartState = false; UserSpecifiedCorrelation = false; for i = 1:length(varargin)/2 key = varargin{2*i-1}; value = varargin{2*i}; if (! (ischar (key) && isvector (key))) error ("sde: key must be a string"); endif switch (key) case "StartTime" if (! (isscalar (value) && isreal (value))) error ("sde: StartTime must be a real scalar"); endif SDE.StartTime = value; case "StartState" if ((! isreal (value)) || isempty (value)) error ("sde: StartState must be a real scalar, vector, or matrix (nonempty)"); endif SDE.StartState = value; UserSpecifiedStartState = true; case "Correlation" if (! (isa (value, "function_handle") || (isreal (value) && issymmetric (value) && isdefinite (value)))) error ("sde: Correlation must be a real symmetric positive definite matrix or a function of time that returns such a matrix"); endif SDE.Correlation = value; UserSpecifiedCorrelation = true; case "Simulation" if (! isa (value, "function_handle")) error ("sde: Simulate must be a function handle"); endif SDE.Simulation = value; otherwise error ("sde: unrecognized option %s", key); endswitch endfor ## Infer default StartState if unspecified if (! UserSpecifiedStartState) Resolved = false; if (isa (DriftRate, "drift")) Resolved = true; if (isnumeric (DriftRate.A)) SDE.StartState = ones (rows (DriftRate.A), 1); elseif (isnumeric (DriftRate.B)) SDE.StartState = ones (rows (DriftRate.B), 1); else Resolved = false; endif endif if ((! Resolved) && isa (DiffusionRate, "diffusion")) Resolved = true; if (isnumeric (DiffusionRate.Alpha)) SDE.StartState = ones (rows (DiffusionRate.Alpha), 1); elseif (isnumeric (DiffusionRate.Sigma)) SDE.StartState = ones (rows (DiffusionRate.Sigma), 1); else Resolved = false; endif endif if (! Resolved) error ("sde: cannot resolve NVARS; you must specify the StartState option explicitly"); endif endif ## Use the default correlation matrix if (! UserSpecifiedCorrelation) ## Infer the size of NVARS and NBROWNS NVARS = size (SDE.StartState, 1); NBROWNS = size (SDE.Diffusion (0, ones (NVARS, 1)), 2); SDE.Correlation = eye (NBROWNS, NBROWNS); endif SDE = class (SDE, "sde"); endfunction ## Test input validation %!error sde () %!error sde (1) %!error sde (1, 2) %!error sde (1, 2, "OptionName") financial-0.5.0/inst/@sde/PaxHeaders.10530/simByEuler.m0000644000000000000000000000013212653547023017262 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@sde/simByEuler.m0000644000175000017500000003673212653547023021270 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{Paths}, @var{Times}, @var{Z}] =} simByEuler (@var{SDE}, @var{Periods}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Simulates a stochastic differential equation (SDE) using Euler timestepping. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{SDE} An sde object. ## @item ## Variable: @var{Periods} Number of simulation periods. ## @end itemize ## ## A list of options recognized by simByEuler are given below: ## @itemize @bullet ## @item NTRIALS - Number of sample paths to use in simulation. ## If unspecified, the default is 1. ## @item DeltaTime - Scalar or NPERIODS-dimensional vector of timesteps. ## If unspecified, the default is 1. ## @item NSTEPS - Number of intervals to subdivide each period in. ## If unspecified, the default is 1. ## @item Antithetic - Logical flag specifying if antithetic variates, a ## variance reduction technique, should be used. ## This value is ignored when Z is specified (see below). ## If unspecified, the default is false. ## @item Z - (NPERIODS * NSTEPS)-by-NBROWNS-by-NTRIALS three-dimensional array ## of random samples to use in the simulation. ## Alternatively, a function returning an NBROWNS-dimensional column ## vector can be specified, with inputs: ## @itemize @bullet ## @item A real-valued observation time t; ## @item An NVARS-dimensional state vector X_t. ## @end itemize ## @item StorePaths - Logical flag specifying whether or not to store sample ## paths. ## If false, @var{Paths} is returned as an empty matrix. ## If unspecified, the default is true. ## @item Processes - Function or cell-array of functions specifying state ## adjustments of the form X_t = P(t, X_t-) at the end of ## each period (X_t- is the limit of X_s as s goes to from the ## right). ## If a single function is specified, it is applied to the end ## of each period. ## If a cell-array is specified, the functions are all applied ## at the end of each period in the order that they appear. ## If unspecified, no adjustments are made at the end of ## periods. ## @item Broadcast - Logical flag specifying whether or not to use broadcasting ## to speed up computation. ## If false, broadcasting is disabled. ## If unspecified, the default is true. ## @end itemize ## ## The outputs are described below: ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Paths} (NPERIODS + 1)-by-NVARS-by-NTRIALS array consisting of ## the simulated paths. ## @item ## Variable: @var{Times} (NPERIODS + 1)-dimensional column vector of observation ## corresponding to the paths. ## @item ## Variable: @var{Z} (NPERIODS * NSTEPS)-by-NBROWNS-by-NTRIALS array of variates ## used to generate the process. ## @end itemize ## ## The method will attempt to use a fast broadcasting implementation whenever ## possible. This is possible when the following requirements are met: ## @itemize @bullet ## @item The methods Drift(t, X) (resp. Diffusion(t, X)) of the @var{SDE} object ## return an NVARS-by-1-by-NTRIALS (resp. NVARS-by-NBROWNS-by-NTRIALS) ## array when X is an NVARS-by-1-by-NTRIALS array. ## @item If the user specifies Z as a function Z(t, X), it returns an ## NBROWNS-by-NTRIALS matrix when X is an NVARS-by-1-by-NTRIALS array. ## @item If the user specifies Processes, each function P(t, X) returns an ## NVARS-by-1-NTRIALS array when X is an NVARS-by-1-by-NTRIALS array. ## @end itemize ## If any of the above conditions are violated, the fast broadcasting ## implementation is not used. ## ## An example is provided in the documentation of @@sde/simulate. ## ## @seealso{sde, @@sde/simulate} ## @end deftypefn function [Paths, Times, Z] = simByEuler (SDE, Periods, varargin) ## Check number of arguments if (nargin < 2) print_usage(); elseif (mod (nargin, 2) == 1) error ("simByEuler: optional arguments must be specified in key-value pairs"); elseif (! isa (SDE, "sde")) error ("simByEuler: first argument must be an sde object"); elseif (! (isscalar (Periods) && Periods > 0 && floor (Periods) == Periods)) error ("simByEuler: Periods must be a positive integer"); endif ## Default values NPERIODS = Periods; NTRIALS = 1; NSTEPS = 1; DeltaTime = ones (NPERIODS, 1); Antithetic = false; StorePaths = true; Processes = @(t, X) X; Broadcast = true; ## Parse options ConstantZ = true; UserSpecifiedZ = false; ProcessesIsCell = false; for i = 1:length(varargin)/2 key = varargin{2*i-1}; value = varargin{2*i}; if (! (ischar (key) && isvector (key))) error ("simByEuler: key must be a string"); endif switch (key) case "NTRIALS" if (! (isscalar (value) && value > 0 && floor (value) == value)) error ("simByEuler: NTRIALS must be a positive integer"); endif NTRIALS = value; case "DeltaTime" if (! (isreal (value) && (min (value > 0)))) error ("simByEuler: DeltaTime must consist only of positive real numbers"); endif if (isscalar (value)) DeltaTime = ones (NPERIODS, 1) * value; elseif (isvector (value) && length (value) == NPERIODS) DeltaTime = value; else error ("simByEuler: DeltaTime must be a scalar or column vector of dimension equal to the specified number of periods"); endif case "NSTEPS" if (! (isscalar (value) && value > 0 && floor (value) == value)) error ("simByEuler: NSTEPS must be a positive integer"); endif NSTEPS = value; case "Antithetic" if (! (isscalar (value) && islogical (value))) error ("simByEuler: Antithetic must be a scalar logical true or false"); endif Antithetic = value; case "Z" ConstantZ = ! isa (value, "function_handle"); if (! (! ConstantZ || (isreal (value) && length (size (value)) == 3))) error ("simByEuler: Z must be a three-dimensional array of real numbers or a function handle"); endif Z = value; UserSpecifiedZ = true; case "StorePaths" if (! (isscalar (value) && islogical (value))) error ("simByEuler: StorePaths must be a scalar logical true or false"); endif StorePaths = value; case "Processes" ProcessesIsCell = iscell (value); if (ProcessesIsCell) for j = 1:length (value) f = value{j}; if (! isa (f, "function_handle")) error ("simByEuler: if specifying Processes as cell-array, each element must be a function handle"); endif endfor elseif (! isa (value, "function_handle")) error ("simByEuler: Processes must be a function handle or cell-array of function handles."); endif Processes = value; case "Broadcast" if (! (isscalar (value) && islogical (value))) error ("simByEuler: Broadcast must be a scalar logical true or false"); endif Broadcast = value; otherwise error ("simByEuler: unrecognized option %s", key); endswitch endfor ## Infer the size of NVARS and NBROWNS NVARS = size (SDE.StartState, 1); NBROWNS = size (SDE.Diffusion (0, ones (NVARS, 1)), 2); ## Error checking if (StorePaths) Paths = zeros (NPERIODS + 1, NVARS, NTRIALS); else Paths = zeros (0, 0, 0); endif ## Perform Cholesky factorization exactly once if possible ConstantCorrelation = false; if (! isa (SDE.Correlation, "function_handle")) L = chol (SDE.Correlation, "lower"); ConstantCorrelation = true; endif ## Generate random samples if (UserSpecifiedZ) if (Antithetic) warning("simByEuler: Antithetic specified with Z; ignoring Antithetic"); endif else ## Antithetic sampling if (Antithetic) ## Make sure NTRIALS is even NTRIALS += mod (NTRIALS, 2); tmp = randn (NPERIODS * NSTEPS, NBROWNS, NTRIALS / 2); Z(:, :, 1:2:NTRIALS) = tmp; Z(:, :, 2:2:NTRIALS) = -tmp; else Z = randn (NPERIODS * NSTEPS, NBROWNS, NTRIALS); endif endif ## Vector of times Times = zeros (NPERIODS + 1, 1); Times(1) = SDE.StartTime; for p = 1:NPERIODS Times(p+1) = Times(p) + DeltaTime(p); endfor ## Make StartState NVARS-by-NTRIALS matrix if (isscalar (SDE.StartState)) StartState = ones (NVARS, NTRIALS) * SDE.StartState; elseif (iscolumn (SDE.StartState)) StartState = zeros (NVARS, NTRIALS); for i = 1:NTRIALS StartState(:, i) = SDE.StartState; endfor else StartState = SDE.StartState; endif StateDimensions = [NVARS, 1, NTRIALS]; BrownDimensions = [NVARS, NBROWNS, NTRIALS]; TrialDimensions = [NBROWNS, NTRIALS]; ## Check to see if we can use the fast broadcasting implementation X = zeros (StateDimensions); BroadcastDrift = true; try BroadcastDrift = isequal (size (SDE.Drift (0., X)), StateDimensions); catch exception BroadcastDrift = false; end_try_catch if (! BroadcastDrift && NTRIALS > 1) warning ("simByEuler: SDE.Drift cannot be used with fast broadcasting implementation"); endif BroadcastDiffusion = true; try BroadcastDiffusion = isequal (size (SDE.Diffusion (0., X)), BrownDimensions); catch exception BroadcastDiffusion = false; end_try_catch if (! BroadcastDiffusion && NTRIALS > 1) warning ("simByEuler: SDE.Diffusion cannot be used with fast broadcasting implementation"); endif BroadcastZ = true; try if (! ConstantZ) BroadcastZ = isequal (size (Z (0., X)), TrialDimensions); endif catch exception BroadcastZ = false; end_try_catch if (! BroadcastZ && NTRIALS > 1) warning ("simByEuler: Z cannot be used with fast broadcasting implementation"); endif BroadcastProcesses = true; try if (ProcessesIsCell) for j = 1:length (Processes) f = Processes{j}; if (! isequal (size (f (0., X)), StateDimensions)) BroadcastProcesses = false; endif endfor else if (! isequal (size (Processes (0., X)), StateDimensions)) BroadcastProcesses = false; endif endif catch exception BroadcastProcesses = false; end_try_catch if (! BroadcastProcesses && NTRIALS > 1) warning ("simByEuler: Processes cannot be used with fast broadcasting implementation"); endif Broadcast = Broadcast && BroadcastDrift && BroadcastDiffusion && BroadcastZ && BroadcastProcesses; if (! Broadcast && NTRIALS > 1) warning ("simByEuler: fast broadcasting disabled; may be slow"); endif if (Broadcast) NOUTER = 1; else NOUTER = NTRIALS; endif if (StorePaths) Paths(1, :, :) = StartState; endif for i = 1:NOUTER if (Broadcast) X = reshape (StartState, StateDimensions); else X = StartState(:, i); endif t = SDE.StartTime; for p = 1:NPERIODS dt = DeltaTime(p); subdt = dt/NSTEPS; sqrt_subdt = sqrt (subdt); if (Broadcast) for n = 1:NSTEPS tnow = t + subdt * (n-1); if (! ConstantCorrelation) L = chol (SDE.Correlation (tnow), "lower"); endif if (! ConstantZ) phi = Z (tnow, X); else phi = reshape (Z((p-1)*NSTEPS + n, :, :), TrialDimensions); endif ## Fast matrix-vector multiply over multiple slices v0 = sum (bsxfun (@times, L * sqrt_subdt, permute (phi, [3, 1, 2])), 2); v1 = reshape (v0, TrialDimensions); v2 = sum (bsxfun (@times, SDE.Diffusion (tnow, X), permute (v1, [3, 1, 2])), 2); X += SDE.Drift (tnow, X) * subdt + v2; endfor else for n = 1:NSTEPS tnow = t + subdt * (n-1); if (! ConstantCorrelation) L = chol (SDE.Correlation (tnow), "lower"); endif if (! ConstantZ) phi = Z (tnow, X); else phi = reshape (Z((p-1)*NSTEPS + n, :, i), [NBROWNS, 1]); endif X += SDE.Drift (tnow, X) * subdt ... + SDE.Diffusion (tnow, X) * (L * phi) * sqrt_subdt; endfor endif t = Times(p+1); if (ProcessesIsCell) for j = 1:length (Processes) f = Processes{j}; X = f (t, X); endfor else X = Processes (t, X); endif if (StorePaths) if (Broadcast) Paths(p+1, :, :) = X(:, 1, :); else Paths(p+1, :, i) = X; endif endif endfor endfor endfunction ## Basket call test %!test %! Asset1Price = 40.; Asset2Price = 40.; Strike = 40.; RiskFreeRate = 0.05; Volatility1 = 0.5; Volatility2 = 0.5; ExpiryTime = 0.25; Correlation = 0.3; %! Simulations = 1e5; Timesteps = 10; %! Drift = drift ([0.;0.], [RiskFreeRate 0.;0. RiskFreeRate]); %! Diffusion = diffusion ([1.;1.], [Volatility1 0.;0. Volatility2]); %! SDE = sde (Drift, Diffusion, "StartState", [Asset1Price;Asset2Price], "Correlation", [1 Correlation;Correlation 1]); %! [Paths, ~, ~] = simulate (SDE, 1, "DeltaTime", ExpiryTime, "NTRIALS", Simulations, "NSTEPS", Timesteps, "Antithetic", true); %! BasketCallApproximate = exp (-RiskFreeRate * ExpiryTime) * mean (max (max (Paths(end, :, :)) - Strike, 0.)); %! BasketCall = 6.8477; ## Computed using formula from Stulz (1982) %! assert (BasketCallApproximate, BasketCall, 1e-1); ## Confidence interval and options pricing tests %!test %! AssetPrice = 100.; RiskFreeRate = 0.04; Dividends = 0.01; Volatility = 0.2; ExpiryTime = 1.; %! Simulations = 1e6; Timesteps = 10; %! Drift = drift (0., RiskFreeRate - Dividends); %! Diffusion = diffusion (1., Volatility); %! SDE = sde (Drift, Diffusion, "StartState", AssetPrice); %! [Paths, ~, ~] = simByEuler (SDE, 1, "DeltaTime", ExpiryTime, "NTRIALS", Simulations, "NSTEPS", Timesteps, "Antithetic", true); %! AssetExpiryMean = AssetPrice * exp ((RiskFreeRate - Dividends) * ExpiryTime); %! AssetExpiryMeanApproximate = mean (Paths(end, 1, :)); %! AssetExpiryVariance = AssetPrice * AssetPrice * exp (2 * (RiskFreeRate - Dividends) * ExpiryTime) * (exp (Volatility * Volatility * ExpiryTime) - 1); %! ConfidenceInterval = 0.01; %! tol = norminv(1 - ConfidenceInterval/2) * sqrt (AssetExpiryVariance / Simulations); %! assert (AssetExpiryMeanApproximate, AssetExpiryMean, tol) %! Strike = 100.; %! CallApproximate = exp (-RiskFreeRate * ExpiryTime) * mean (max (Paths(end, 1, :) - Strike, 0.)); %! [Call, ~] = blsprice (AssetPrice, Strike, RiskFreeRate, ExpiryTime, Volatility, Dividends); %! assert (CallApproximate, Call, 1e-1); ## Test input validation %!error simByEuler() %!error simByEuler(1) %!error simByEuler("invalid type", 1) financial-0.5.0/inst/PaxHeaders.10530/m2xdate.m0000644000000000000000000000013012653547023015671 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/m2xdate.m0000644000175000017500000000504312653547023017670 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {exceldatenums =} m2xdate (datenums) ## @deftypefnx {Function File} {exceldatenums =} m2xdate (datenums, convention) ## @deftypefnx {Function File} {exceldatenums =} m2xdate (datenums, convention, "ExcelBug") ## ## Convert @var{datenums} from the internal date format to the format ## used by Microsoft Excel. If set to 0 (default, Excel for Windows), ## @var{convention} specifies to use the Excel 1900 convention where Jan ## 1, 1900 corresponds to Excel serial date number 1. If set to 1 ## (Excel for Mac), @var{convention} specifies to use the Excel 1904 ## convention where Jan 1, 1904 corresponds to Excel serial date number ## 0. ## ## Note that this does not take into account the Excel bug where 1900 is ## considered to be a leap year unless you give the "ExcelBug" option. ## ## Excel does not represent dates prior to 1 January 1900 using this ## format, so a warning will be issued if any dates preceed this date. ## ## @seealso{datenum, x2mdate} ## @end deftypefn function dates = m2xdate (dates, convention, excelbug) if nargin == 1 convention = 0; excelbug = false(); elseif nargin == 2 excelbug = false(); elseif nargin == 3 excelbug = strcmpi(excelbug, "ExcelBug"); else print_usage (); endif if convention == 0 adj = datenum(1900, 1, 1) - 2; elseif convention == 1 adj = datenum(1904, 1, 1); endif if excelbug datemask = (dates < datenum(1900, 3, 1)); dates(datemask) = dates(datemask) - 1; endif dates = dates - adj; if any (dates < 0) warning ("Negative date found, this will not work within MS Excel.") endif endfunction ## Tests %!assert(m2xdate(datenum(2008, 1, 1)), 39448) %!assert(m2xdate(datenum(2007:2008, 1, 1)), [39083 39448]) %!assert(m2xdate(datenum(1900, 1, 1)), 2) %!assert(m2xdate(datenum(1900, 1, 1), 0, "ExcelBug"), 1) %!assert(m2xdate(datenum(1904, 1, 1), 1), 0) financial-0.5.0/inst/PaxHeaders.10530/blsimpv.m0000644000000000000000000000013212653547023016003 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blsimpv.m0000644000175000017500000001523612653547023020005 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{Volatility} =} blsimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}) ## @deftypefnx {Function File} {@var{Volatility} =} blsimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}) ## @deftypefnx {Function File} {@var{Volatility} =} blsimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}, @var{Yield}) ## @deftypefnx {Function File} {@var{Volatility} =} blsimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}, @var{Yield}, @var{Tolerance}) ## @deftypefnx {Function File} {@var{Volatility} =} blsimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}, @var{Yield}, @var{Tolerance}, @var{Class}) ## Computes implied volatility under the Black-Scholes model. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Value} Price of the European option from which the ## underlying's volatility is derived. ## @item ## Variable: @var{Limit} (Optional, default = 10) Upper bound of the implied ## volatility. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @item ## Variable: @var{Tolerance} (Optional, default = 1e-6) Tolerance with which the ## root-finding method terminates. ## @item ## Variable: @var{Class} (Optional, default = @{'call'@}) Option class (call or ## put). To specify a call option, use a value of true or @{'call'@}. To specify ## put options, use a value of false or @{'put'@}. ## @end itemize ## ## Computes the implied volatility under the Black-Scholes model from a given ## market option price. ## ## @seealso{blsdelta, blsgamma, blslambda, blsprice, blsrho, blstheta} ## @end deftypefn function Volatility = blsimpv (Price, Strike, Rate, Time, Value, ... Limit = 10, Yield = 0, Tolerance = 1e-6, ... Class = true) if (nargin < 5 || nargin > 9) print_usage (); endif ## Get maximum sizes of matrices res_size_row = max ([rows(Price) rows(Strike) rows(Rate) rows(Time) ... rows(Value) rows(Limit) rows(Yield) rows(Tolerance) ... rows(Class)]); res_size_col = max ([columns(Price) columns(Strike) columns(Rate) ... columns(Time) columns(Value) columns(Limit) ... columns(Yield) columns(Tolerance) columns(Class)]); res_size = [res_size_row res_size_col]; ## Resize scalars Price = resize_scalar (res_size, Price, "PRICE"); Strike = resize_scalar (res_size, Strike, "STRIKE"); Rate = resize_scalar (res_size, Rate, "RATE"); Time = resize_scalar (res_size, Time, "TIME"); Value = resize_scalar (res_size, Value, "VALUE"); Limit = resize_scalar (res_size, Limit, "LIMIT"); Yield = resize_scalar (res_size, Yield, "YIELD"); Tolerance = resize_scalar (res_size, Tolerance, "TOLERANCE"); if (isscalar (Class)) Class = repmat ({Class}, res_size); elseif (! isequal (size (Class), res_size)) error ("blsimpv: CLASS must be a scalar or cell array of conforming size with other inputs", arg_name); endif ## Check that all values in the cell array option are either boolean ## or the string call, and put. Replace the strings call and put by their ## respective boolean and then convert it into a boolean matrix. if (iscell (Class)) bool_idx = cellfun ("islogical", Class); call_idx = strcmpi (Class, "call"); put_idx = strcmpi (Class, "put"); if (! all (bool_idx | put_idx | call_idx)) error ("blsimpv: all values in OPTION must be logical, \"call\", or \"put\""); endif Class(call_idx) = true; Class(put_idx) = false; Class = cell2mat (Class); endif Volatility = zeros (res_size); # output matrix for j = 1:res_size_row for k = 1:res_size_col ## Make option set ## At the time of writing, fzero did not recognize the ## GradObj option. opts = optimset ("fzero"); opts = optimset (opts, "TolX", Tolerance(j, k), "GradObj", "on"); ## Construct function if (Class(j, k)) # call fun = @(x) blscall (Price(j, k), Strike(j, k), Rate(j, k), Time(j, k), x, Yield(j, k)) - Value(j, k); else # put fun = @(x) blsput (Price(j, k), Strike(j, k), Rate(j, k), Time(j, k), x, Yield(j, k)) - Value(j, k); endif ## Solve try [x, fval, exitflag, output] = fzero (fun, [Tolerance(j, k) Limit(j, k)], opts); if (exitflag != 1) x = NaN; endif catch x = NaN; end_try_catch Volatility(j, k) = x; endfor endfor endfunction function sc = resize_scalar (res_size, sc, arg_name); if (isscalar (sc)) sc = repmat (sc, res_size); elseif (! isequal (size(sc), res_size)) error ("blsimpv: %s must be a scalar or matrix of conforming size with other inputs", arg_name); endif endfunction function [C, v] = blscall (Price, Strike, Rate, Time, x, Yield) C = blsprice (Price, Strike, Rate, Time, x, Yield); v = blsvega (Price, Strike, Rate, Time, x, Yield); endfunction function [P, v] = blsput (Price, Strike, Rate, Time, x, Yield) [~, P] = blsprice (Price, Strike, Rate, Time, x, Yield); v = blsvega (Price, Strike, Rate, Time, x, Yield); endfunction ## Tests %!assert (blsimpv (100, 100, 0.04, 1, [9.9251 6.0040], 1, 0, 1e-6, [1 0]), [0.2 0.2], 1e-4) ## Test input validation %!error blsimpv () %!error blsimpv (1) %!error blsimpv (1, 2) %!error blsimpv (1, 2, 3) %!error blsimpv (1, 2, 3, 4) %!error blsimpv (1, 2, 3, 4, 5, 6, 7, 8, 2) financial-0.5.0/inst/PaxHeaders.10530/blkprice.m0000644000000000000000000000013012653547023016120 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/blkprice.m0000644000175000017500000000373012653547023020120 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{Call}, @var{Put}] =} blkprice (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## Compute European call and put option price using the Black-76 model. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset (a futures ## contract). ## @item ## Variable: @var{Strike} Exercise price of the futures option. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @end itemize ## ## @seealso{binprice, blsprice} ## @end deftypefn function [Call, Put] = blkprice (Price, Strike, Rate, Time, Volatility) if (nargin != 5) print_usage (); endif [Call, Put] = blsprice (Price .* exp (-Rate .* Time), Strike, Rate, Time, ... Volatility); endfunction ## Tests %!test %! [Call, Put] = blkprice (90:10:110, 100, 0.04, 1, 0.2); %! assert (Call, [3.4484 7.6532 13.7316], 1e-4) %! assert (Put, [13.0563 7.6532 4.1237], 1e-4) ## Test input validation %!error blkprice () %!error blkprice (1) %!error blkprice (1, 2) %!error blkprice (1, 2, 3) %!error blkprice (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/minute.m0000644000000000000000000000013012653547023015626 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/minute.m0000644000175000017500000000276712653547023017637 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2013 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} minute (@var{date}) ## @deftypefnx {Function File} {} minute (@var{date}, @var{f}) ## Return minutes of a date. ## ## For a given @var{date} in a serial date number or date string format, ## returns its minutes. The optional variable @var{f}, specifies the ## format string used to interpret date strings. ## ## @seealso{date, datevec, now, hour, second} ## @end deftypefn function t = minute (varargin) if (nargin < 1 || nargin > 2) print_usage (); elseif (nargin >= 2 && ! ischar (varargin{2})) error ("minute: F must be a string"); endif t = datevec (varargin{:})(:,5); endfunction %!assert (minute (451482.906781456), 45) %!assert (minute ("1967-09-21 11:56:34", "yyyy-mm-dd HH:MM:SS"), 56) financial-0.5.0/inst/PaxHeaders.10530/nper.m0000644000000000000000000000013212653547023015273 xustar0030 mtime=1454296595.850291867 30 atime=1454296595.850291867 30 ctime=1454296595.890291909 financial-0.5.0/inst/nper.m0000644000175000017500000000417612653547023017276 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2004-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} nper (@var{r}, @var{p}, @var{a}, @var{l}, @var{method}) ## Return the number of regular payments of @var{p} necessary to ## amortize @var{a} loan of amount @var{a} and interest @var{r}. ## ## The optional argument @var{l} may be used to specify an additional ## lump-sum payment of @var{l} made at the end of the amortization time. ## ## The optional argument @var{method} may be used to specify whether ## payments are made at the end (@var{"e"}, default) or at the beginning ## (@var{"b"}) of each period. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @seealso{pv, pmt, rate, npv} ## @end deftypefn function n = nper (r, p, a, l, m) if (nargin < 3 || nargin > 5) print_usage (); endif if (! (isscalar (r) && r > -1)) error ("nper: r must be a scalar > -1"); elseif (! isscalar (p)) error ("nper: p must be a scalar"); elseif (! isscalar (a)) error ("nper: a must be a scalar"); endif if (nargin == 5) if (! ischar (m)) error ("nper: `method' must be a string"); endif elseif (nargin == 4) if (ischar (l)) m = l; l = 0; else m = "e"; endif else m = "e"; l = 0; endif if (strcmp (m, "b")) p = p * (1 + r); endif q = (p - r * a) / (p - r * l); if (q > 0) n = - log (q) / log (1 + r); else n = Inf; endif endfunction financial-0.5.0/inst/PaxHeaders.10530/corr2cov.m0000644000000000000000000000013212653547023016066 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/corr2cov.m0000644000175000017500000000364012653547023020064 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2011 Hong Yu ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{cov} =} corr2cov (@var{sigma}, @var{corr}) ## Convert standard deviation @var{sigma} and correlation coefficients @var{corr} ## to covariance @var{cov}. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @seealso{corrcoef, cov, cov2corr, std} ## @end deftypefn function ret = corr2cov (sigma, corr) if ( nargin != 2 ) print_usage (); elseif ( rows(corr) != columns(corr) || ndims(corr) != 2 ) error("correlation coefficients must be a NxN matrix"); elseif ( rows(sigma) != 1 || ndims(sigma) != 2 ) error("sigma must be a 1xN vector (single row) with the standard deviation values"); elseif ( columns(sigma) < columns(1) ) error("sigma: must be 1xN \ncorr: must be NxN"); endif sigma = sigma(:); ret = corr .* (sigma * sigma'); endfunction %!demo %! sigma = [ 0.5 2.0 ]; %! corr = [ 1.0 -0.5; -0.5 1.0 ]; %! cov = corr2cov( sigma, corr ); %! %-------------------------------------------------- %! % Input standard deviations and correlation matrix, output covariance %! % matrix %!test %! sigma = [0.5 2.0]; %! corr = [1.0 -0.5; -0.5 1.0]; %! cov = corr2cov( sigma, corr ); %! assert( cov, [ 0.25 -0.5; -0.5 4.0 ] ) financial-0.5.0/inst/PaxHeaders.10530/thirdwednesday.m0000644000000000000000000000013212653547023017345 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/thirdwednesday.m0000644000175000017500000000425412653547023021345 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[begindate, enddate]} = thirdwednesday (month, year) ## ## Find the third Wednesday of the month specified by the @var{month} ## and @var{year}. The @var{begindate} is the third Wednesday of the ## month, and the @var{enddate} is three months after that. Outputs are ## in the form of datenums. ## ## The third Wednesday is used for Eurodollar futures. ## ## @seealso{nweekdate, datenum} ## @end deftypefn function [wednesdays, enddate] = thirdwednesday (month, year) if nargin ~= 2 print_usage (); elseif ~ ((numel(year) == 1) || (numel(month) == 1) || ~isequal (size (month), size (year))) error("month and year must have the same size or one of them must be a scalar") endif if numel (year) == 1 sz = size (month); else sz = size (year); endif wednesdays = nweekdate (3, 4, year, month); dates = datevec (wednesdays); ## adjust the year when the date will wrap dates(:,1) += dates (:,2) > 9; ## adjust the month by three dates(:,2) = mod (dates(:,2) + 2, 12) + 1; enddate = reshape (datenum (dates), sz); endfunction ## Tests %!shared m, y, bt, et %! m = (1:12)'; %! y = 2008; %! bt = datenum(2008, m, [16;20;19;16;21;18;16;20;17;15;19;17]); %! et = datenum([2008*ones(9,1);2009*ones(3,1)], [4:12 1:3]', [16;20;19;16;21;18;16;20;17;15;19;17]); %!test %! [b e] = thirdwednesday (m, y); %! assert(b, bt) %! assert(e, et) %!test %! [b e] = thirdwednesday (m', y); %! assert(b, bt') %! assert(e, et') financial-0.5.0/inst/PaxHeaders.10530/fvl.m0000644000000000000000000000013212653547023015116 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/fvl.m0000644000175000017500000000263212653547023017114 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} fvl (@var{r}, @var{n}, @var{l}) ## Return the future value at the end of @var{n} periods of an initial ## lump sum investment @var{l}, given a per-period interest rate ## @var{r}. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @end deftypefn function v = fvl (r, n, l) if (nargin != 3) print_usage (); endif if (! (isscalar (r) && r > -1)) error ("fvl: r has to be a scalar > -1"); elseif (! (isscalar (n) && n > 0)) error ("fvl: n has to be a positive scalar"); elseif (! isscalar (l)) error ("fvl: l has to be a scalar"); endif v = l * (1 + r)^n; endfunction financial-0.5.0/inst/PaxHeaders.10530/vol.m0000644000000000000000000000013212653547023015127 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/vol.m0000644000175000017500000000407112653547023017124 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Friedrich Leisch ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{volat} =} vol (@var{x}, @var{m}, @var{n}) ## Return the volatility @var{volat} of each column of the input matrix @var{x}. ## ## The number of data sets per period is given by @var{m} (e.g. the ## number of data per year if you want to compute the volatility per ## year). The optional parameter @var{n} gives the number of past ## periods used for computation, if it is omitted, a value of 1 is used. ## ## If @var{t} is the number of rows of @var{x}, @code{vol} returns the ## volatility from @code{n*m} to @var{t}. ## ## @end deftypefn function retval = vol (X, m, n) if (nargin < 2) print_usage (); endif [xr, xc] = size (X); if (nargin > 2) if (n * m > xr) error ("vol: I need more data!"); endif else n = 1; if (n * m > xr) error ("vol: I need more data!"); endif endif U = zeros (xr - 1, xc); if (all (X)) U = X ((2 : xr), :) ./ X((1 : (xr-1)), :); else error ("vol: zero element in X"); endif U = log(U); U = U - ones (xr - 1, 1) * sum (U) / (xr - 1); retval = zeros (xr - n * m, xc); retval(1, :) = sumsq (U((1 : n*m), :)); for i = 2 : (xr - n * m) retval(i, :) = retval(i - 1, :) ... - U(i - 1, :).^2 + U(i + n * m - 1, :).^2; endfor retval = sqrt (retval * m / (n * m - 1)); endfunction financial-0.5.0/inst/PaxHeaders.10530/isbusday.m0000644000000000000000000000013212653547023016152 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/isbusday.m0000644000175000017500000000505212653547023020147 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {r =} isbusday (refdate) ## @deftypefnx {Function File} {r =} isbusday (refdate, holiday) ## @deftypefnx {Function File} {r =} isbusday (refdate, holiday, weekend) ## ## Return true if the @var{refdate} is a business date @var{refdate}. ## @var{holiday} is a vector of datenums that defines the holidays ## observed (the holidays function is used if not given). @var{weekend} ## defines the days of the week that should be considered weekends; ## [1 0 0 0 0 0 1] (default) indicates that Sunday and Saturday are ## weekends. ## ## @seealso{holidays, lbusdate, busdate, fbusdate} ## @end deftypefn function mask = isbusday (rd, hol=[], wkend=[]) if ~ isnumeric (rd) rd = datenum (rd); endif if isempty (hol) ## Get all possible holidays that could affect the output. hol = holidays (min(rd), max(rd)); end if isempty (wkend) wkend = [1 0 0 0 0 0 1]; elseif numel (wkend) ~= 7 error ("wkend must have 7 elements") elseif nargin > 3 print_usage (); endif mask = reshape (wkend (weekday (rd)), size (rd)); if ~ isempty (hol) ## Is it a holiday? mask = mask | ismember (floor (rd), hol); endif mask = ~mask; endfunction ## Tests ## A normal day %!assert(isbusday(datenum(2008,1,2)), true()) ## A holiday %!assert(isbusday(datenum(2008,1,1)), false()) %!assert(isbusday(datenum(2008,1,1), []), false()) ## A weekend %!assert(isbusday(datenum(2008,2,2)), false()) ## An alternate holiday %!assert(isbusday(datenum(2008,1,2), datenum(2008,1,2)), false()) ## An alternate weekend %!assert(isbusday(datenum(2008,1,2), [], zeros(1,7)), true()) %!assert(isbusday(datenum(2008,1,2), [], ones(1,7)), false()) ## A vector %!assert(isbusday([datenum(2008,1,2) datenum(2008,2,2)]), [true() false()]) ## A vector in the other direction %!assert(isbusday([datenum(2008,1,2);datenum(2008,2,2)]), [true();false()]) financial-0.5.0/inst/PaxHeaders.10530/renko.m0000644000000000000000000000013212653547023015445 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/renko.m0000644000175000017500000000653412653547023017450 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} renko (@var{X}) ## @deftypefnx {Function File} renko (@var{X}, @var{threshold}) ## Plots price changes using a Renko chart. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{X} An M-by-2 matrix in which the first column contains datenum ## bers and the second contains prices. ## @item ## Variable: @var{threshold} (Optional, default = 1.) A new box is added only ## when subsequent prices change by more than the threshold. ## @end itemize ## ## @example ## X = [... ## 730299.00 23.45; ... ## 730300.00 23.30; ... ## 730305.00 24.00; ... ## 730310.00 23.50; ... ## 730315.00 23.55; ... ## 730320.00 24.11; ... ## 730325.00 26.00; ... ## 730330.00 26.59; ... ## 730335.00 26.50; ... ## 730340.00 26.40; ... ## 730345.00 25.00]; ## renko(X, .1); ## @end example ## ## @seealso{bolling, candle, highlow, kagi, linebreak, movavg, pointfig, priceandvol, volarea} ## @end deftypefn function renko (X, threshold = 1.) ## Input checking if (nargin < 1 || nargin > 2) print_usage (); elseif (! (ismatrix (X) && isreal (X) && size (X, 2) == 2)) error ("renko: X must be a real matrix with exactly two columns"); elseif (size (X, 1) < 2) error ("renko: X must have at least two data points"); elseif (! (isscalar (threshold) && isreal (threshold) && threshold >= 0.)) error ("renko: THRESHOLD must be a nonnegative real scalar"); elseif (! (all (diff (X(:, 1)) > 0))) error ("renko: the first column of X should be increasing"); endif fig = figure; washold = ishold; hold on; grid on; ax = gca; total = []; m = size (X, 1); while (m >= 2) found_n = false; n = m - 1; for n = (m-1):-1:1 if (abs(X(n, 2) - X(m, 2)) >= threshold) found_n = true; while (n > 1 && abs(X(n-1, 2) - X(n, 2)) < threshold) n = n - 1; endwhile break; endif endfor if (! found_n) break; endif if (X(m, 2) > X(n, 2)) direction = -1; else direction = +1; endif X2 = fliplr (X(m, 2):(direction*threshold):X(n, 2)); tmp = (1 - (X(m, 2) - X2(1)) / (X(m, 2) - X(n, 2))) * (X(m, 1) - X(n, 1)) + X(n, 1); X1 = linspace (tmp, X(m, 1), length (X2)); l = plot (X1, X2, "s"); if (direction == -1) set (l, "MarkerFaceColor", "w"); else set (l, "MarkerFaceColor", "k"); endif set (l, "MarkerEdgeColor", "k"); m = n; minX = X(1); endwhile axis([minX X(end, 1) -Inf Inf]); ticks = get (ax, "XTick"); dates = datestr (ticks, 1); set (ax, "XTickLabel", dates) if (! washold) hold off endif endfunction financial-0.5.0/inst/PaxHeaders.10530/cov2corr.m0000644000000000000000000000013212653547023016066 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/cov2corr.m0000644000175000017500000000334612653547023020067 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2011 Hong Yu ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{sigma}, @var{corr}] =} cov2corr (@var{cov}) ## Convert covariance @var{cov} from input to standard deviation @var{sigma} and ## correlation coefficients @var{corr}. ## ## @seealso{corr2cov, corrcoef, cov, std} ## @end deftypefn function [sigma, corr] = cov2corr (cov_m) if ( nargin != 1 ) print_usage (); elseif ( ndims (cov_m) != 2 || rows(cov_m) != columns(cov_m) ) error("covariances must be a NxN matrix"); endif sigma = diag(cov_m); if ( min(sigma) <= 0 ) error("covariance: must have all positive values along the diagonal") endif sigma = sqrt(sigma)'; corr = cov_m ./ ( sigma' * sigma ); endfunction %!demo %! cov = [ 0.25 -0.5; -0.5 4.0 ]; %! [ sigma, corr ] = cov2corr( cov ); %! %-------------------------------------------------- %! % Input covariance matrix, output standard deviations and correlation %! % matrix %!test %! cov = [ 0.25 -0.5; -0.5 4.0 ]; %! [sigma, corr] = cov2corr( cov ); %! assert( sigma, [0.5 2.0] ) %! assert( corr, [1.0 -0.5; -0.5 1.0] ); financial-0.5.0/inst/PaxHeaders.10530/cfdur.m0000644000000000000000000000013212653547023015432 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/cfdur.m0000644000175000017500000000376512653547023017440 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2011 Hong Yu ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{dur}, @var{mod_dur}] =} cfdur (@var{cf}, @var{yield}) ## Calculate duration @var{dur} and modified duration @var{mod_dur}, from given ## fixed-paid cash flow @var{cf} and period yield @var{yield}. ## ## Reference: ## http://en.wikipedia.org/wiki/Bond_duration ## Using periodic compounding instead of continuous compounding. ## ## @seealso{cfconv} ## @end deftypefn function [dur, modDur] = cfdur (cf, yield) if ( nargin != 2 ) print_usage (); elseif ( ! isscalar(yield) ) error("input yield must be a scalar"); endif if ( rows(1) != 1 ) error("input cash flow must be a 1xN matrix"); endif v_idx = 1:columns(cf); t1 = (1+yield) .^ (-v_idx); t2 = v_idx .* t1; dur = (cf*t2') / (cf*t1'); modDur = dur / (1+yield); endfunction %!demo %! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; %! yield = 0.025; %! [ duration, modDuration ] = cfdur( cf, yield ); %! %-------------------------------------------------- %! % Input cash flow and yield, output duration and modified duration %!test %! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; %! [dur modDur] = cfdur( cf, 0.025 ); %! errVal1 = round(dur*(1e+4))*(1e-4) - 8.9709; %! errVal2 = round(modDur*(1e+4))*(1e-4) - 8.7521; %! assert( errVal1, 0 ) %! assert( errVal2, 0 ) financial-0.5.0/inst/PaxHeaders.10530/busdays.m0000644000000000000000000000013212653547023016001 xustar0030 mtime=1454296595.833625183 30 atime=1454296595.833625183 30 ctime=1454296595.890291909 financial-0.5.0/inst/busdays.m0000644000175000017500000001231112653547023017772 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{bdates} =} busdays (@var{sdate}, @var{edate}) ## @deftypefnx {Function File} {@var{bdates} =} busdays (@var{sdate}, @var{edate}, @var{bdmode}) ## @deftypefnx {Function File} {@var{bdates} =} busdays (@var{sdate}, @var{edate}, @var{bdmode}, @var{holvec}) ## Generate a list of business dates at the end of the periods defined ## between (including) @var{sdate} and @var{edate}. ## ## @var{sdate} is the starting date, @var{edate} is the ending date, ## both are in serial date format (see datenum). @var{bdmode} is the ## business day frequency ("daily", "weekly", "monthly", "quarterly", ## "semiannual", or "annual"); these can be abbreviated by the first ## letter and they may also use an integer corresponding to the order in ## the above list (i.e. "daily" = 1). @var{holvec} is an optional list ## of holidays. If the holidays are not given, then the holidays ## function is used. ## @seealso{holidays, busdate, lbusdate, isbusday, fbusdate, datenum} ## @end deftypefn function bd = busdays (sd, ed, mode=1, hol=[]) if nargin < 2 || nargin > 4 print_usage (); endif if ~isnumeric (sd) sd = datenum (sd); endif if ~isnumeric (ed) ed = datenum (ed); endif if ed < sd error ("busdays: the start date must be less than the end date") endif if isempty (hol) ## make the holidays take into account the whole ending year because ## the day may extend beyond the actual ending date edtmp = datevec (ed); edtmp(2:3) = [12 31]; hol = holidays (sd, datenum (edtmp)); endif ## Convert the mode to the numeric modestr = "dwmqsa"; if ischar (mode) mode = find (lower (mode(1)) == modestr); if isempty (mode) error ("busdays: mode must be one of '%s'", modestr) endif elseif isnumeric (mode) if mode < 1 || mode > length (modestr) error ("busdays: mode must be between 1 and %d", length (modestr)) endif else error ("busdays: mode must be a number or string") endif ## do the computation if mode == 1 ## daily bd = (sd:ed)'(isbusday (sd:ed, hol)); elseif mode < 6 if mode == 2 ## weekly make the start and end dates Fridays and then move back ## from there wd = weekday ([sd;ed]); d = [sd;ed] - wd + 7; ## there are generally not more than one week of holidays at a ## time, but the call to unique will make certain of that. bd = unique (busdate ([d(1):7:d(2)]', -1, hol)); else d = datevec ([sd:ed]); ## unique year and month list within the date range ym = unique (d(:,1:2), "rows"); if mode == 3 ## monthly, do nothing to the ym list elseif mode == 4 ## quarterly if mod (ym(end), 3) != 0 ## make the last month an end of quarter month ym(end) = ym(end) + 3 - mod (ym(end), 3); endif ym(mod (ym(:,2), 3) != 0, :) = []; elseif mode == 5 ## semi-annually if mod (ym(end), 6) != 0 ## make the last month an end of semi-annual month (6, 12) ym(end) = ym(end) + 6 - mod (ym(end), 6); endif ym(mod (ym(:,2), 6) != 0, :) = []; endif bd = lbusdate (ym(:,1), ym(:,2), hol); endif elseif mode == 6 ## annual d = datevec ([sd;ed]); bd = lbusdate ((d(1,1):d(2,1))', 12, hol); else ## this should have been caught before now error ("busdays: invalid mode") endif endfunction ## Tests %!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 12)), datenum (2008, 1, [2;3;4;7;8;9;10;11])) %!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 12), "d"), datenum (2008, 1, [2;3;4;7;8;9;10;11])) %!assert (busdays (datenum (2001, 1, 2), datenum (2001, 1, 9), "w"), datenum (2001, 1, [5;12])) %!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 2), "m"), datenum (2008, 1, 31)) %!assert (busdays (datenum (2008, 1, 1), datenum (2010, 5, 2), "m"), lbusdate ([2008*ones(12,1);2009*ones(12,1);2010*ones(5,1)], [1:12 1:12 1:5]')) %!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 2), "q"), datenum (2008, 3, 31)) %!assert (busdays (datenum (2008, 1, 1), datenum (2010, 5, 2), "q"), lbusdate ([2008*ones(4,1);2009*ones(4,1);2010*ones(2,1)], [3:3:12 3:3:12 3 6]')) %!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 2), "s"), datenum (2008, 6, 30)) %!assert (busdays (datenum (2008, 1, 1), datenum (2010, 5, 2), "s"), lbusdate ([2008;2008;2009;2009;2010], [6 12 6 12 6]')) %!assert (busdays (datenum (2008, 1, 1), datenum (2011, 1, 2), "a"), datenum ([2008;2009;2010;2011], [12;12;12;12], [31;31;31;30])) financial-0.5.0/inst/PaxHeaders.10530/gbm.m0000644000000000000000000000013212653547023015074 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/gbm.m0000644000175000017500000000423212653547023017070 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{GBM} =} gbm (@var{Return}, @var{Sigma}) ## @deftypefnx {Function File} {@var{GBM} =} gbm (@var{Return}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a geometric Brownian motion (GBM): ## ## @center dX_t = (@var{Return}(t) * X_t)dt + (diag(X_t) * @var{Sigma}(t))dW_t ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{sde} ## @end deftypefn function GBM = gbm (Return, Sigma, varargin) if (nargin < 2) print_usage (); endif ## Infer NVARS NVARS = 0; if (isnumeric (Return)) NVARS = rows (Return); elseif (isnumeric (Sigma)) NVARS = rows (Sigma); else NVARS = sdenvars (varargin{:}); endif GBM = cev (Return, ones (NVARS, 1), Sigma, varargin{:}); endfunction ## Options pricing tests %!test %! AssetPrice = 100.; RiskFreeRate = 0.04; Dividends = 0.01; Volatility = 0.2; ExpiryTime = 1.; %! Simulations = 1e6; Timesteps = 10; %! SDE = gbm (RiskFreeRate - Dividends, Volatility, "StartState", AssetPrice); %! [Paths, ~, ~] = simByEuler (SDE, 1, "DeltaTime", ExpiryTime, "NTRIALS", Simulations, "NSTEPS", Timesteps, "Antithetic", true); %! Strike = 100.; %! CallApproximate = exp (-RiskFreeRate * ExpiryTime) * mean (max (Paths(end, 1, :) - Strike, 0.)); %! [Call, ~] = blsprice (AssetPrice, Strike, RiskFreeRate, ExpiryTime, Volatility, Dividends); %! assert (CallApproximate, Call, 1e-1); financial-0.5.0/inst/PaxHeaders.10530/taxedrr.m0000644000000000000000000000013212653547023016000 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/taxedrr.m0000644000175000017500000000247412653547023020002 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{return} =} taxedrr (@var{pretaxreturn}, @var{taxrate}) ## Compute the taxed rate of @var{return} based on a @var{pretaxreturn} ## rate and a @var{taxrate}. ## @seealso{irr, effrr, nomrr, pvvar, xirr} ## @end deftypefn function rate = taxedrr (pretax, taxrate) if (nargin != 2) print_usage (); elseif (taxrate < 0 || taxrate > 1) error ("taxedrr: taxrate must be between 0 and 1") endif rate = pretax.*(1-taxrate); endfunction ## Tests %!assert (taxedrr (0.12, 0.30), 0.084, 10*eps) %!assert (taxedrr (0.12, 0), 0.12, 10*eps) %!assert (taxedrr (0.12, 1), 0, 10*eps) financial-0.5.0/inst/PaxHeaders.10530/@drift0000644000000000000000000000013212653547023015304 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.890291909 30 ctime=1454296595.890291909 financial-0.5.0/inst/@drift/0000755000175000017500000000000012653547023017354 5ustar00pazimzadpazimzad00000000000000financial-0.5.0/inst/@drift/PaxHeaders.10530/drift.m0000644000000000000000000000013212653547023016647 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@drift/drift.m0000644000175000017500000000660712653547023020653 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{DriftRate} =} drift (@var{A}, @var{B}) ## Creates an object to represent the drift rate of a stochastic differential ## equation (SDE): ## ## @center @var{DriftRate}(t, X_t) = A(t) + B(t) * X_t ## @center dX_t = @var{DriftRate}(t, X_t)dt + DiffusionRate(t, X_t)dW_t. ## ## @itemize @bullet ## @item (X_t) is an NVARS-dimensional process; ## @item (W_t) is an NBROWNS-dimensional Wiener process. ## @end itemize ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{A} An NVARS-by-1 vector or a function. As a function, @var{A} ## returns an NVARS-by-1 vector and has either exactly one input (time: ## @var{A}(t)) or exactly two inputs (time and space: @var{A}(t, X_t)). ## @item ## Variable: @var{B} An NVARS-by-NVARS matrix or a function. As a function, ## @var{B} returns an NVARS-by-NVARS matrix and has either exactly one input ## (time: @var{B}(t)) or exactly two inputs (time and space: @var{B}(t, X_t)). ## @end itemize ## ## @seealso{diffusion} ## @end deftypefn function DriftRate = drift (A, B) ## Check number of arguments if (nargin != 2) print_usage(); endif if (iscolumn (A) && isreal (A)) DriftRate.A = @(t, X) A; DriftRate.IsAConstant = true; elseif (isa (A, "function_handle") && nargin (A) == 1) DriftRate.A = @(t, X) A(t); DriftRate.IsAConstant = false; elseif (isa (A, "function_handle") && nargin (A) == 2) DriftRate.A = A; DriftRate.IsAConstant = false; else error ("drift: A must either be a real column vector or a function of one or two arguments returning such a vector."); endif if (ismatrix (B) && issquare (B) && isreal (B) && ((! isreal (A)) || size (B, 1) == size (A, 1)) ) DriftRate.B = @(t, X) B; DriftRate.IsBConstant = true; elseif (isa (B, "function_handle") && nargin (B) == 1) DriftRate.B = @(t, X) B(t); DriftRate.IsBConstant = false; elseif (isa (B, "function_handle") && nargin (B) == 2) DriftRate.B = B; DriftRate.IsBConstant = false; else error ("drift: B must either be a real square matrix of order equal to the dimension of A or a function of one or two arguments returning such a matrix."); endif DriftRate.Rate = @(t, X) reshape ( ... bsxfun ( ... @plus, ... DriftRate.A (t, X), ... DriftRate.B (t, X) * reshape (X, [size(X, 1), size(X, 3)]) ... ), ... [size(X, 1), 1, size(X, 3)] ... ); DriftRate = class (DriftRate, "drift"); endfunction financial-0.5.0/inst/@drift/PaxHeaders.10530/subsref.m0000644000000000000000000000013212653547023017210 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@drift/subsref.m0000644000175000017500000000265312653547023021211 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function v = subsref (DriftRate, idx) if (! isa (DriftRate, "drift")) error ("object must be of the drift class but '%s' was used", class (DriftRate)); elseif (! strcmp (idx(1).type, ".") || numel (idx) > 1) error ("incorrect syntax to reference drift object. Use obj.prop to access properties."); endif switch (idx.subs) case "A" if (DriftRate.IsAConstant) v = DriftRate.A (0., 0.); else v = DriftRate.A; endif case "B" if (DriftRate.IsBConstant) v = DriftRate.B (0., 0.); else v = DriftRate.B; endif case "Rate" v = DriftRate.Rate; otherwise error ("drift: unknown property '%s'", idx.subs); endswitch endfunction financial-0.5.0/inst/@drift/PaxHeaders.10530/subsasgn.m0000644000000000000000000000013212653547023017364 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@drift/subsasgn.m0000644000175000017500000000275512653547023021370 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function DriftRate = subsasgn (DriftRate, idx, value) if (! isa (DriftRate, "drift")) error ("object must be of the drift class but '%s' was used", class (DriftRate)); elseif (! strcmp (idx(1).type, ".") || numel (idx) > 1) error ("incorrect syntax to reference drift object. Use obj.prop to access properties."); endif if (DriftRate.IsAConstant) A = DriftRate.A (0., 0.); else A = DriftRate.A; endif if (DriftRate.IsBConstant) B = DriftRate.B (0., 0.); else B = DriftRate.B; endif switch (idx.subs) case "A" DriftRate = drift (value, B); case "B" DriftRate = drift (A, value); case "Rate" error ("drift: 'Rate' is private"); otherwise error ("drift: unknown property '%s'", idx.subs); endswitch endfunction financial-0.5.0/inst/@drift/PaxHeaders.10530/display.m0000644000000000000000000000013212653547023017204 xustar0030 mtime=1454296595.823625173 30 atime=1454296595.823625173 30 ctime=1454296595.890291909 financial-0.5.0/inst/@drift/display.m0000644000175000017500000000231612653547023021201 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function display (DriftRate) if (DriftRate.IsAConstant) AString = mat2str (DriftRate.A (0., 0.)); else AString = func2str (DriftRate.A); endif if (DriftRate.IsBConstant) BString = mat2str (DriftRate.B (0., 0.)); else BString = func2str (DriftRate.B); endif printf ("\n\ Class DRIFT: Drift Rate Specification\n\ -------------------------------------\n\ Rate: %s\n\ A: %s\n\ B: %s\n\n", func2str (DriftRate.Rate), AString, BString); endfunction financial-0.5.0/inst/PaxHeaders.10530/sdeld.m0000644000000000000000000000013212653547023015422 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/sdeld.m0000644000175000017500000000352512653547023017422 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2016 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{SDE} =} sdeld (@var{A}, @var{B}, @var{Alpha}, @var{Sigma}) ## @deftypefnx {Function File} {@var{SDE} =} sdeld (@var{A}, @var{B}, @var{Alpha}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) ## Creates an object to represent a stochastic differential equation (SDE) in ## linear drift-rate form: ## ## @center dX_t = (@var{A}(t) + @var{B}(t) * X_t)dt + (diag(X_t.^@var{Alpha}(t)) * @var{Sigma}(t))dW_t ## ## @itemize @bullet ## @item (X_t) is an NVARS-dimensional process; ## @item (W_t) is an NBROWNS-dimensional Wiener process. ## @end itemize ## ## The parameters @var{A} and @var{B} appear in the @@sde/drift documentation. ## ## The parameters @var{Alpha} and @var{Sigma} appear in the @@sde/diffusion ## documentation. ## ## See the @@sde documentation for a list of optional arguments. ## ## @seealso{drift, diffusion, sde} ## @end deftypefn function SDE = sdeld (A, B, Alpha, Sigma, varargin) if (nargin < 4) print_usage (); endif Drift = drift (A, B); Diffusion = diffusion (Alpha, Sigma); SDE = sde (Drift, Diffusion, varargin{:}); endfunction financial-0.5.0/inst/PaxHeaders.10530/datefind.m0000644000000000000000000000013212653547023016105 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/datefind.m0000644000175000017500000000275612653547023020112 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {indices =} datefind (subset, superset, tol) ## ## Find any instances of the @code{subset} in the @code{superset} with ## the @code{tol}erance. @code{tol} is 0 by default. ## ## @seealso{date, datenum} ## @end deftypefn function idx = datefind (subset, superset, tol=0) if (nargin < 2 || nargin > 3) print_usage (); elseif ! isscalar (tol) error ("datefind: tol must be a scalar") endif idx = []; for i = 1:numel (superset) if any (subset(:) - tol <= superset(i) & superset(i) <= subset(:) + tol) idx(end+1, 1) = i; endif endfor endfunction ## Tests %!assert (datefind (datenum (1999, 7, [10;20]), datenum (1999, 7, 1:31)), [10;20]) %!assert (datefind (datenum (1999, 7, [10;20]), datenum (1999, 7, 1:31), 1), [9;10;11;19;20;21]) financial-0.5.0/inst/PaxHeaders.10530/day.m0000644000000000000000000000013212653547023015104 xustar0030 mtime=1454296595.836958521 30 atime=1454296595.836958521 30 ctime=1454296595.890291909 financial-0.5.0/inst/day.m0000644000175000017500000000267712653547023017113 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2013 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} day (@var{date}) ## @deftypefnx {Function File} {} day (@var{date}, @var{f}) ## Return hours of a date. ## ## For a given @var{date} in a serial date number or date string format, ## returns its day. The optional variable @var{f}, specifies the ## format string used to interpret date strings. ## ## @seealso{date, datevec, now, month, year} ## @end deftypefn function t = day (varargin) if (nargin < 1 || nargin > 2) print_usage (); elseif (nargin >= 2 && ! ischar (varargin{2})) error ("day: F must be a string"); endif t = datevec (varargin{:})(:,3); endfunction %!assert (day (523383), 21); %!assert (day ("12-02-34", "mm-dd-yy"), 2); financial-0.5.0/inst/PaxHeaders.10530/@diffusion0000644000000000000000000000013212653547023016162 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.890291909 30 ctime=1454296595.890291909 financial-0.5.0/inst/@diffusion/0000755000175000017500000000000012653547023020232 5ustar00pazimzadpazimzad00000000000000financial-0.5.0/inst/@diffusion/PaxHeaders.10530/subsref.m0000644000000000000000000000013212653547023020066 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/inst/@diffusion/subsref.m0000644000175000017500000000300312653547023022055 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function v = subsref (DiffusionRate, idx) if (! isa (DiffusionRate, "diffusion")) error ("object must be of the diffusion class but '%s' was used", class (DiffusionRate)); elseif (! strcmp (idx(1).type, ".") || numel (idx) > 1) error ("incorrect syntax to reference diffusion object. Use obj.prop to access properties."); endif switch (idx.subs) case "Alpha" if (DiffusionRate.IsAlphaConstant) v = DiffusionRate.Alpha (0., 0.); else v = DiffusionRate.Alpha; endif case "Sigma" if (DiffusionRate.IsSigmaConstant) v = DiffusionRate.Sigma (0., 0.); else v = DiffusionRate.Sigma; endif case "Rate" v = DiffusionRate.Rate; otherwise error ("diffusion: unknown property '%s'", idx.subs); endswitch endfunction financial-0.5.0/inst/@diffusion/PaxHeaders.10530/diffusion.m0000644000000000000000000000013212653547023020403 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/inst/@diffusion/diffusion.m0000644000175000017500000000656612653547023022413 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{DiffusionRate} =} diffusion (@var{Alpha}, @var{Sigma}) ## Creates an object to represent the diffusion rate of a stochastic ## differential equation (SDE): ## ## @center @var{DiffusionRate}(t, X_t) = diag(X_t.^Alpha(t)) * V(t) ## @center dX_t = DriftRate(t, X_t)dt + @var{DiffusionRate}(t, X_t)dW_t. ## ## @itemize @bullet ## @item (X_t) is an NVARS-dimensional process; ## @item (W_t) is an NBROWNS-dimensional Wiener process. ## @end itemize ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Alpha} An NVARS-by-1 vector or a function. As a function, ## @var{Alpha} returns an NVARS-by-1 vector and has either exactly one input ## (time: @var{Alpha}(t)) or exactly two inputs (time and space: ## @var{Alpha}(t, X_t)). ## @item ## Variable: @var{Sigma} An NVARS-by-NBROWNS matrix or a function. As a ## function, @var{Sigma} returns an NVARS-by-NBROWNS matrix and has either ## exactly one input (time: @var{Sigma}(t)) or exactly two inputs (time and ## space: @var{Sigma}(t, X_t)). ## @end itemize ## ## @seealso{drift} ## @end deftypefn function DiffusionRate = diffusion (Alpha, Sigma) ## Check number of arguments if (nargin != 2) print_usage(); endif if (iscolumn (Alpha) && isreal (Alpha)) DiffusionRate.Alpha = @(t, X) Alpha; DiffusionRate.IsAlphaConstant = true; elseif (isa (Alpha, "function_handle") && nargin (Alpha) == 1) DiffusionRate.Alpha = @(t, X) Alpha(t); DiffusionRate.IsAlphaConstant = false; elseif (isa (Alpha, "function_handle") && nargin (Alpha) == 2) DiffusionRate.Alpha = Alpha; DiffusionRate.IsAlphaConstant = false; else error ("diffusion: Alpha must either be a real column vector or a function of one or two arguments returning such a vector."); endif if (ismatrix (Sigma) && isreal (Sigma) && ((! isreal (Alpha)) || size (Sigma, 1) == size (Alpha, 1))) DiffusionRate.Sigma = @(t, X) Sigma; DiffusionRate.IsSigmaConstant = true; elseif (isa (Sigma, "function_handle") && nargin (Sigma) == 1) DiffusionRate.Sigma = @(t, X) Sigma(t); DiffusionRate.IsSigmaConstant = false; elseif (isa (Sigma, "function_handle") && nargin (Sigma) == 2) DiffusionRate.Sigma = Sigma; DiffusionRate.IsSigmaConstant = false; else error ("diffusion: Sigma must either be a real matrix with number of rows equal to the dimension of Alpha or a function of one or two arguments returning such a matrix."); endif DiffusionRate.Rate = @(t, X) bsxfun (@times, DiffusionRate.Sigma (t, X), ... bsxfun (@power, X, DiffusionRate.Alpha (t, X))); DiffusionRate = class (DiffusionRate, "diffusion"); endfunction financial-0.5.0/inst/@diffusion/PaxHeaders.10530/subsasgn.m0000644000000000000000000000013212653547023020242 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/inst/@diffusion/subsasgn.m0000644000175000017500000000316112653547023022236 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function DiffusionRate = subsasgn (DiffusionRate, idx, value) if (! isa (DiffusionRate, "diffusion")) error ("object must be of the diffusion class but '%s' was used", class (DiffusionRate)); elseif (! strcmp (idx(1).type, ".") || numel (idx) > 1) error ("incorrect syntax to reference diffusion object. Use obj.prop to access properties."); endif if (DiffusionRate.IsAlphaConstant) Alpha = DiffusionRate.Alpha (0., 0.); else Alpha = DiffusionRate.Alpha; endif if (DiffusionRate.IsSigmaConstant) Sigma = DiffusionRate.Sigma (0., 0.); else Sigma = DiffusionRate.Sigma; endif switch (idx.subs) case "Alpha" DiffusionRate = diffusion (value, Sigma); case "Sigma" DiffusionRate = diffusion (Alpha, value); case "Rate" error ("diffusion: 'Rate' is private"); otherwise error ("diffusion: unknown property '%s'", idx.subs); endswitch endfunction financial-0.5.0/inst/@diffusion/PaxHeaders.10530/display.m0000644000000000000000000000013212653547023020062 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/inst/@diffusion/display.m0000644000175000017500000000245612653547023022064 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2015 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or ## (at your option) any later version. ## ## This program is distributed in the hope that it will be useful, ## but WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this program; if not, see . function display (DiffusionRate) if (DiffusionRate.IsAlphaConstant) AlphaString = mat2str (DiffusionRate.Alpha (0., 0.)); else AlphaString = func2str (DiffusionRate.Alpha); endif if (DiffusionRate.IsSigmaConstant) SigmaString = mat2str (DiffusionRate.Sigma (0., 0.)); else SigmaString = func2str (DiffusionRate.Sigma); endif printf ("\n\ Class DIFFUSION: Diffusion Rate Specification\n\ ---------------------------------------------\n\ Rate: %s\n\ Alpha: %s\n\ Sigma: %s\n\n", func2str (DiffusionRate.Rate), AlphaString, SigmaString); endfunction financial-0.5.0/inst/PaxHeaders.10530/blsrho.m0000644000000000000000000000013212653547023015620 xustar0030 mtime=1454296595.830291847 30 atime=1454296595.830291847 30 ctime=1454296595.890291909 financial-0.5.0/inst/blsrho.m0000644000175000017500000000520212653547023017612 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{CallRho}, @var{PutRho}] =} blsrho (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}) ## @deftypefnx {Function File} {[@var{CallRho}, @var{PutRho}] =} blsrho (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield}) ## Compute the Black-Scholes rho. ## ## @itemize ## @item ## Variable: @var{Price} The current price of the underlying asset. ## @item ## Variable: @var{Strike} The strike price the option is written on. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Volatility} The volatility of the underlying asset. ## @item ## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously ## compounded rate of dividends of the underlying asset. ## @end itemize ## ## Computes the Black-Scholes rho, the rate of change of the option value with ## respect to the risk-free interest rate. ## ## @seealso{blsdelta, blsgamma, blslambda, blsprice, blstheta, blsvega} ## @end deftypefn function [CallRho, PutRho] = blsrho (Price, Strike, Rate, Time, Volatility, ... Yield = 0) if (nargin < 5 || nargin > 6) print_usage (); endif blscheck ("blsrho", Price, Strike, Rate, Time, Volatility, Yield); d2 = 1 ./ (Volatility .* sqrt (Time)) .* (log (Price ./ Strike) + ... (Rate - Yield - Volatility .^2 / 2) .* Time); phi = normcdf(d2); common = Strike .* Time .* exp (-Rate .* Time); CallRho = common .* phi; PutRho = common .* (phi - 1); endfunction ## Tests %!test %! [CallRho, PutRho] = blsrho (90:10:110, 100, 0.04, 1, 0.2, 0.01); %! assert (CallRho, [30.4331 49.9552 67.3271], 1e-4) %! assert (PutRho, [-65.6458 -46.1238 -28.7519], 1e-4) ## Test input validation %!error blsrho () %!error blsrho (1) %!error blsrho (1, 2) %!error blsrho (1, 2, 3) %!error blsrho (1, 2, 3, 4) financial-0.5.0/inst/PaxHeaders.10530/posvolidx.m0000644000000000000000000000013212653547023016356 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/posvolidx.m0000644000175000017500000000634412653547023020360 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{pvi} =} posvolidx (@var{closeprice}, @var{vol}) ## @deftypefnx {Function File} {@var{pvi} =} posvolidx ([@var{closeprice} @var{vol}]) ## @deftypefnx {Function File} {@var{pvi} =} posvolidx (@var{closeprice}, @var{vol}, @var{initpvi}) ## @deftypefnx {Function File} {@var{pvi} =} posvolidx ([@var{closeprice} @var{vol}], @var{initpvi}) ## ## Compute the positive volume index of a security based on its closing ## price (@var{closeprice}) and @var{vol}ume. They may be given as ## separate arguments or as an nx2 matrix. If given, the @var{initpvi} ## is the starting value of the pvi (default: 100). ## ## The @var{pvi} will always be a column vector. ## ## @seealso{onbalvol, negvolidx} ## @end deftypefn function pvi = posvolidx (c, vol, initpvi) default_pvi = 100; pvi = zeros (length (c), 1); if isvector (c) if nargin < 2 ## a closing price was given without a volume print_usage (); elseif isscalar (vol) ## probably initpvi was given as the second argument print_usage (); elseif !isvector (vol) print_usage (); elseif length (c) != length (vol) error ("closeprice and vol must be the same length"); endif c = [c(:) vol(:)]; if nargin < 3 pvi(1) = default_pvi; else pvi(1) = initpvi; endif elseif size (c, 2) != 2 error ("If given as a matrix, c must have exactly two columns.") elseif size (c, 2) == 2 if nargin == 2 pvi(1) = vol; else pvi(1) = default_pvi; endif else print_usage (); endif ## Start doing the work for i = 2:size (c, 1) pvi(i) = pvi(i-1) + (c(i,2) > c(i-1,2))*pvi(i-1)*(c(i,1)-c(i-1,1))/c(i-1,1); endfor endfunction ## Tests %!shared c, v, pvia, pvib %! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; %! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28]; %! pvia = [100 100.7575758 101.0249554 101.9607843 104.0998217 104.0998217 103.4276318 103.4276318 103.4276318 105.7488389 106.1059477 106.1059477 108.242309 108.242309 108.242309 107.9734953 104.7029289 104.7029289 102.9290546]'; %! pvib = [5 5.037878788 5.051247772 5.098039216 5.204991087 5.204991087 5.171381588 5.171381588 5.171381588 5.287441943 5.305297383 5.305297383 5.412115451 5.412115451 5.412115451 5.398674767 5.235146444 5.235146444 5.14645273]'; %!assert(posvolidx(c, v), pvia, 1e-5) %!assert(posvolidx([c' v']), pvia, 1e-5) %!assert(posvolidx(c, v, 5), pvib, 1e-5) %!assert(posvolidx([c' v'], 5), pvib, 1e-5) financial-0.5.0/inst/PaxHeaders.10530/yahoo.m0000644000000000000000000000013212653547023015446 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/yahoo.m0000644000175000017500000000312412653547023017441 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{conn} =} yahoo () ## @deftypefnx {Function File} {@var{conn} =} yahoo (@var{URL}, @var{ipaddress}, @var{port}) ## ## Prepare a Yahoo connection for the fetch command to get Yahoo ## historical quote data. ## ## If given, the @var{URL} must be "http://quote.yahoo.com". The ## @var{ipaddress} and @var{port} is the proxy ipaddress and port. These ## parameters are currently ignored (with a warning if given). ## ## @seealso{fetch, google} ## @end deftypefn ## FIXME: Actually use the proxy info if given. function conn = yahoo (url="http://quote.yahoo.com", ipaddr="", port=[]) if ! strcmpi (url, "http://quote.yahoo.com") error ("url must be 'http://quote.yahoo.com'") elseif ! (isempty (ipaddr) && isempty (port)) warning ("Proxy information is currently ignored") endif conn.url = url; conn.ip = ipaddr; conn.port = port; endfunction financial-0.5.0/inst/PaxHeaders.10530/pv.m0000644000000000000000000000013212653547023014754 xustar0030 mtime=1454296595.853625205 30 atime=1454296595.853625205 30 ctime=1454296595.890291909 financial-0.5.0/inst/pv.m0000644000175000017500000000430612653547023016752 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 1995-1996, 1998, 2000, 2002, 2004-2007 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {} pv (@var{r}, @var{n}, @var{p}, @var{l}, @var{method}) ## Returns the present value of an investment that will pay off @var{p} for @var{n} ## consecutive periods, assuming an interest @var{r}. ## ## The optional argument @var{l} may be used to specify an additional ## lump-sum payment made at the end of @var{n} periods. ## ## The optional argument @var{method} may be used to specify whether ## payments are made at the end (@code{"e"}, default) or at the ## beginning (@code{"b"}) of each period. ## ## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, ## not 5 percent). ## @seealso{pmt, nper, rate, npv} ## @end deftypefn function v = pv (r, n, p, l, m) if (nargin < 3 || nargin > 5) print_usage (); endif if (! (isscalar (r) && r > -1)) error ("pv: r must be a scalar > -1"); elseif (! (isscalar (n) && n > 0)) error ("pv: n must be a positive scalar"); elseif (! isscalar (p)) error ("pv: p must be a scalar"); endif if (r != 0) v = p * (1 - (1 + r)^(-n)) / r; else v = p * n; endif if (nargin > 3) if (nargin == 5) if (! ischar (m)) error ("pv: `method' must be a string"); endif elseif (ischar (l)) m = l; l = 0; else m = "e"; endif if (strcmp (m, "b")) v = v * (1 + r); endif if (isscalar (l)) v = v + pvl (r, n, l); else error ("pv: l must be a scalar"); endif endif endfunction financial-0.5.0/inst/PaxHeaders.10530/blkimpv.m0000644000000000000000000000013012653547023015771 xustar0029 mtime=1454296595.82695851 29 atime=1454296595.82695851 30 ctime=1454296595.890291909 financial-0.5.0/inst/blkimpv.m0000644000175000017500000000611312653547023017767 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2013 Parsiad Azimzadeh ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU Lesser General Public License as published by the Free ## Software Foundation; either version 3 of the License, or (at your option) any ## later version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License ## for more details. ## ## You should have received a copy of the GNU Lesser General Public License ## along with this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{Volatility} =} blkimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}) ## @deftypefnx {Function File} {@var{Volatility} =} blkimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}) ## @deftypefnx {Function File} {@var{Volatility} =} blkimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}, @var{Tolerance}) ## @deftypefnx {Function File} {@var{Volatility} =} blkimpv (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Value}, @var{Limit}, @var{Tolerance}, @var{Class}) ## Compute implied volatility under the Black-Scholes model. ## ## @itemize @minus{}@minus{} ## @item ## Variable: @var{Price} The current price of the underlying asset (a futures ## contract). ## @item ## Variable: @var{Strike} Exercise price of the futures option. ## @item ## Variable: @var{Rate} The risk-free interest rate. ## @item ## Variable: @var{Time} The time-to-expiry. ## @item ## Variable: @var{Value} Price of the European option from which the ## underlying's volatility is derived. ## @item ## Variable: @var{Limit} (Optional, default = 10) Upper bound of the implied ## volatility. ## @item ## Variable: @var{Tolerance} (Optional, default = 1e-6) Tolerance with which the ## root-finding method terminates. ## @item ## Variable: @var{Class} (Optional, default = @{'call'@}) Option class (call or ## put). To specify a call option, use a value of true or @{'call'@}. To specify ## put options, use a value of false or @{'put'@}. ## @end itemize ## ## Computes the implied volatility under the Black-Scholes model from a given ## market option price. ## ## @seealso{blsdelta, blsgamma, blslambda, blsprice, blsrho, blstheta} ## @end deftypefn function Volatility = blkimpv (Price, Strike, Rate, Time, Value, ... Limit = 10, Tolerance = 1e-6, Option = true) if (nargin < 5 || nargin > 8) print_usage (); endif Volatility = blsimpv (Price .* exp (-Rate .* Time), Strike, Rate, Time, ... Value, Limit, 0, Tolerance, Option); endfunction ## Tests %!assert (blkimpv (90, 100, 0.04, 1, [3.4484 13.0563], 1, 1e-6, [1 0]), [0.2 0.2], 1e-4) ## Test input validation %!error blkimpv () %!error blkimpv (1) %!error blkimpv (1, 2) %!error blkimpv (1, 2, 3) %!error blkimpv (1, 2, 3, 4) %!error blkimpv (1, 2, 3, 4, 5, 6, 7, 8, 2) financial-0.5.0/inst/PaxHeaders.10530/rsindex.m0000644000000000000000000000013212653547023016003 xustar0030 mtime=1454296595.856958541 30 atime=1454296595.856958541 30 ctime=1454296595.890291909 financial-0.5.0/inst/rsindex.m0000644000175000017500000000421512653547023020000 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{rsi} =} rsindex (@var{closeprice}) ## @deftypefnx {Function File} {@var{rsi} =} rsindex (@var{closeprice}, @var{nperiods}) ## ## Compute the relative strength index (RSI) of an asset from the vector ## of closing prices (@var{closeprice}). @var{nperiods} defines the ## number of periods that the rsi should be calculated for ## (default: 14). ## ## The beginning of the @var{rsi} is padded with nans to match the size ## of @var{closeprice}. ## ## @end deftypefn function rsi = rsindex (cl, n = 14) if nargin < 1 || nargin > 2 print_usage (); elseif n > length(cl) error ("nperiods must be <= the length of closeprice") elseif ! isvector (cl) error ("closeprice must be a vector") endif diff = cl(2:end) - cl(1:end-1); rsi = nan (size (cl)); for i = n:length (cl) changes = diff(i-n+1:i-1); downs = changes < 0; ups = changes > 0; if isempty (downs) ## prevent division by zero rsi(i) = 100; elseif isempty (ups) rsi(i) = 0; else ups = sum(changes(ups)); downs = -sum(changes(downs)); rsi(i) = 100*(1-1/(1+ups/downs)); endif endfor endfunction ## Tests %!shared c, r %! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; %! r = [nan(1, 13) 85.1190 70.235 68.6684 55.6322 53.0414 49.7717]; %!assert(rsindex(c), r, 0.0001) %!assert(rsindex(c'), r', 0.0001) financial-0.5.0/inst/PaxHeaders.10530/month.m0000644000000000000000000000013012653547023015452 xustar0029 mtime=1454296595.84695853 29 atime=1454296595.84695853 30 ctime=1454296595.890291909 financial-0.5.0/inst/month.m0000644000175000017500000000321512653547023017450 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## Copyright (C) 2013 Carnë Draug ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{num}, @var{str}] =} month (@var{date}) ## @deftypefnx {Function File} {[@dots{}] =} month (@var{date}, @var{f}) ## Return month of a date. ## ## For a given @var{date} in a serial date number or date string format, ## returns its month number (@var{num}) or 3 letter name (@var{str}). ## ## The optional variable @var{f}, specifies the format string used to ## interpret date strings. ## ## @seealso{date, datevec, now, day, year} ## @end deftypefn function [num, str] = month (varargin) if (nargin < 1 || nargin > 2) print_usage (); elseif (nargin >= 2 && ! ischar (varargin{2})) error ("month: F must be a string"); endif num = datevec (varargin{:})(:,2); str = datestr ([0 num 0 0 0 0], "mmm"); endfunction %!assert (nthargout (1:2, @month, 523383), {12 "Dec"}); %!assert (nthargout (1:2, @month, "12-02-34", "mm-dd-yy"), {12 "Dec"}); financial-0.5.0/inst/PaxHeaders.10530/lbusdate.m0000644000000000000000000000013212653547023016132 xustar0030 mtime=1454296595.843625194 30 atime=1454296595.843625194 30 ctime=1454296595.890291909 financial-0.5.0/inst/lbusdate.m0000644000175000017500000000364112653547023020131 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {b =} lbusdate (year, month) ## @deftypefnx {Function File} {b =} lbusdate (year, month, holiday) ## @deftypefnx {Function File} {b =} lbusdate (year, month, holiday, weekend) ## ## Return the datenum of the last business day of the @var{year} and ## @var{month}. @var{holiday} is a vector of datenums that defines the ## holidays observed (the holidays function is used if not given). ## @var{weekend} defines the days of the week that should be considered ## weekends; [1 0 0 0 0 0 1] (default) indicates that Sunday and ## Saturday are holidays. ## ## If any of the optional inputs (@var{holiday}, @var{weekend}) are ## empty, then the default is used. ## ## @seealso{holidays, fbusdate, isbusday, busdate} ## @end deftypefn function rd = lbusdate (y, m, hol, wkend) rd = eomdate (y, m); if nargin < 3 hol = []; end if nargin < 4 wkend = []; elseif nargin < 3 || nargin > 4 print_usage (); endif ## Test from the day after the end of the month so that the ## last day of the month is captured. rd = busdate (rd+1, -1, hol, wkend); endfunction ## Tests ## A normal day %!assert(lbusdate(2008,4), datenum(2008,4,30)) ## A weekend %!assert(lbusdate(2008,5), datenum(2008,5,30)) financial-0.5.0/inst/PaxHeaders.10530/x2mdate.m0000644000000000000000000000013212653547023015673 xustar0030 mtime=1454296595.860291878 30 atime=1454296595.860291878 30 ctime=1454296595.890291909 financial-0.5.0/inst/x2mdate.m0000644000175000017500000000503112653547023017665 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {datenums =} x2mdate (exceldatenums) ## @deftypefnx {Function File} {datenums =} x2mdate (exceldatenums, convention) ## @deftypefnx {Function File} {datenums =} x2mdate (exceldatenums, convention, "ExcelBug") ## ## Convert @var{datenums} from the Microsoft Excel date format to the ## format used by @code{datenum}. If set to 0 (default, Excel for ## Windows), @var{convention} specifies to use the Excel 1900 convention ## where Jan 1, 1900 corresponds to Excel serial date number 1. If set ## to 1 (Excel for Mac), @var{convention} specifies to use the Excel ## 1904 convention where Jan 1, 1904 corresponds to Excel serial date ## number 0. ## ## Note that this does not take into account the Excel bug where 1900 is ## considered to be a leap year unless you give the "ExcelBug" option. ## ## Excel does not represent dates prior to 1 January 1900 using this ## format, so a warning will be issued if any dates preceed this date. ## ## @seealso{datenum, x2mdate} ## @end deftypefn function dates = x2mdate (dates, convention, excelbug) if nargin == 1 convention = 0; excelbug = false(); elseif nargin == 2 excelbug = false(); elseif nargin == 3 excelbug = strcmpi(excelbug, "ExcelBug"); else print_usage (); endif if any (dates < 0) warning ("Negative date found, this will not work within MS Excel.") endif if convention == 0 adj = datenum(1900, 1, 1) - 2; elseif convention == 1 adj = datenum(1904, 1, 1); endif if excelbug datemask = (dates < 61); dates(datemask) = dates(datemask) + 1; endif dates = dates + adj; endfunction ## Tests %!assert(x2mdate(39448), datenum(2008, 1, 1)) %!assert(x2mdate([39083 39448]), datenum(2007:2008, 1, 1)) %!assert(x2mdate(2), datenum(1900, 1, 1)) %!assert(x2mdate(1, 0, "ExcelBug"), datenum(1900, 1, 1)) %!assert(x2mdate(0, 1), datenum(1904, 1, 1)) financial-0.5.0/inst/PaxHeaders.10530/google.m0000644000000000000000000000013212653547023015603 xustar0030 mtime=1454296595.840291857 30 atime=1454296595.840291857 30 ctime=1454296595.890291909 financial-0.5.0/inst/google.m0000644000175000017500000000314412653547023017600 0ustar00pazimzadpazimzad00000000000000## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{conn} =} google () ## @deftypefnx {Function File} {@var{conn} =} google (@var{URL}, @var{ipaddress}, @var{port}) ## ## Prepare a Google connection for the fetch command to get Google ## historical quote data. ## ## If given, the @var{URL} must be "http://finance.google.com". The ## @var{ipaddress} and @var{port} is the proxy ipaddress and port. These ## parameters are currently ignored (with a warning if given). ## ## @seealso{fetch, yahoo} ## @end deftypefn ## FIXME: Actually use the proxy info if given. function conn = google (url="http://finance.google.com", ipaddr="", port=[]) if ! strcmpi (url, "http://finance.google.com") error ("url must be 'http://finance.google.com'") elseif ! (isempty (ipaddr) && isempty (port)) warning ("Proxy information is currently ignored") endif conn.url = url; conn.ip = ipaddr; conn.port = port; endfunction financial-0.5.0/PaxHeaders.10530/INDEX0000644000000000000000000000013212653547023013766 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/INDEX0000644000175000017500000000145312653547023015764 0ustar00pazimzadpazimzad00000000000000financial >> Financial Financial binprice blkimpv blkprice blsdelta blsgamma blsimpv blslambda blsprice blsrho blstheta blsvega cfconv cfdur corr2cov cov2corr effrr fetch fvl fv google hhigh irr llow macd mirr movavg negvolidx nomrr nper npv onbalvol opprofit pmt posvolidx pvl pv rate rsindex taxedrr vol yahoo Plot bolling dateaxis highlow pointfig renko Stochastic Differential Equation (SDE) Models @diffusion/diffusion @drift/drift @sde/sde @sde/simByEuler @sde/simulate sdeddo sdeld sdemrd bm cev cir gbm heston hwv Time busdate busdays datefind day daysact easter eomdate fbusdate holidays hour isbusday lbusdate lweekdate m2xdate minute month months nweekdate second thirdwednesday today weeknum x2mdate yeardays year financial-0.5.0/PaxHeaders.10530/NEWS0000644000000000000000000000013212653547023013673 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/NEWS0000644000175000017500000000636312653547023015676 0ustar00pazimzadpazimzad00000000000000Summary of important user-visible changes for financial 0.5.0: -------------------------------------------------------------- ** The following classes for Monte Carlo methods are new (see `help @sde/simulate` for example usage): @sde @drift @diffusion ** The following functions are new: binprice blkimpv blkprice blsdelta blsgamma blsimpv blslambda blsprice blsrho blstheta blsvega bm cev cir gbm heston hwv macd opprofit renko sdeddo sdeld sdemrd weeknum ** `isbusday' has been fixed to accept non-integer values. ** `holidays' has been changed to include past dates where the NYSE was closed due to exceptional reasons. ** `holidays' has been fixed to not count New Year's holidays when it falls on a Saturday (Saturday holidays should be shifted to the previous Friday except when it crosses a calendar year). ** The function month now also returns a string with the 3 letter abbreviation of the month number. The functions, year, month, day, hour, minute, and second, all accept an optional input argument to specify the format of an input date string. ** The period option of `fetch' no longer accepts weekly when using Google as the backend (Google Finance no longer supports weekly historical prices). ** The following functions had minor bug fixes unlikely to create different results from previous versions: rate ** The function datesplit() has been deprecated in the previous release of the Financial package and have now been removed. Summary of important user-visible changes for financial 0.4.0: -------------------------------------------------------------- ** The following functions are new at financial 0.4.0: cfconv cfdur corr2cov cov2corr ** The following functions have been imported from the time package which has been removed (it is now simply a dummy package that lists the financial package as its single dependency): busdate busdays datefind datesplit day daysact easter eomdate fbusdate holidays hour isbusday lbusdate lweekdate m2xdate minute month months nweekdate second thirdwednesday today x2mdate year yeardays ** The following functions were made private (`fetch' should be used directly instead): __fetch_google__ __fetch_yahoo__ ** The function `datesplit' (just imported from the time package) has been deprecated in favour of `datevec' from Octave-core. ** The functions `rate' and `irr' should now be compatible with new releases of octave. ** The function `fetch' should now work properly when using google finnance to adapt to the UTF-8 file received. ** The function `dateaxis' should no longer enter in debug mode at the end of its call. ** The package is now dependent on the io package (version 1.0.18 or later) since the functions that it depended of from miscellaneous package have been moved to io. ** Package is no longer automatically loaded. financial-0.5.0/PaxHeaders.10530/DESCRIPTION0000644000000000000000000000013212653547023014702 xustar0030 mtime=1454296595.820291837 30 atime=1454296595.820291837 30 ctime=1454296595.890291909 financial-0.5.0/DESCRIPTION0000644000175000017500000000070112653547023016673 0ustar00pazimzadpazimzad00000000000000Name: financial Version: 0.5.0 Date: 2016-01-31 Author: Bill Denney , Kurt Hornik Maintainer: Parsiad Azimzadeh Title: Financial Description: Monte Carlo simulation, options pricing routines, financial manipulation, plotting functions and additional date manipulation tools. Depends: octave (>= 4.0.0), io (>= 1.0.18) Autoload: no License: GPLv3+ Url: http://octave.sf.net financial-0.5.0/PaxHeaders.10530/COPYING0000644000000000000000000000012612653547023014232 xustar0028 mtime=1454296595.8169585 28 atime=1454296595.8169585 30 ctime=1454296595.890291909 financial-0.5.0/COPYING0000644000175000017500000010451312653547023016226 0ustar00pazimzadpazimzad00000000000000 GNU GENERAL PUBLIC LICENSE Version 3, 29 June 2007 Copyright (C) 2007 Free Software Foundation, Inc. Everyone is permitted to copy and distribute verbatim copies of this license document, but changing it is not allowed. Preamble The GNU General Public License is a free, copyleft license for software and other kinds of works. The licenses for most software and other practical works are designed to take away your freedom to share and change the works. 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The terms of this License will continue to apply to the part which is the covered work, but the special requirements of the GNU Affero General Public License, section 13, concerning interaction through a network will apply to the combination as such. 14. Revised Versions of this License. The Free Software Foundation may publish revised and/or new versions of the GNU General Public License from time to time. Such new versions will be similar in spirit to the present version, but may differ in detail to address new problems or concerns. Each version is given a distinguishing version number. If the Program specifies that a certain numbered version of the GNU General Public License "or any later version" applies to it, you have the option of following the terms and conditions either of that numbered version or of any later version published by the Free Software Foundation. If the Program does not specify a version number of the GNU General Public License, you may choose any version ever published by the Free Software Foundation. If the Program specifies that a proxy can decide which future versions of the GNU General Public License can be used, that proxy's public statement of acceptance of a version permanently authorizes you to choose that version for the Program. Later license versions may give you additional or different permissions. However, no additional obligations are imposed on any author or copyright holder as a result of your choosing to follow a later version. 15. Disclaimer of Warranty. THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF ALL NECESSARY SERVICING, REPAIR OR CORRECTION. 16. Limitation of Liability. IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS), EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES. 17. Interpretation of Sections 15 and 16. If the disclaimer of warranty and limitation of liability provided above cannot be given local legal effect according to their terms, reviewing courts shall apply local law that most closely approximates an absolute waiver of all civil liability in connection with the Program, unless a warranty or assumption of liability accompanies a copy of the Program in return for a fee. END OF TERMS AND CONDITIONS How to Apply These Terms to Your New Programs If you develop a new program, and you want it to be of the greatest possible use to the public, the best way to achieve this is to make it free software which everyone can redistribute and change under these terms. To do so, attach the following notices to the program. It is safest to attach them to the start of each source file to most effectively state the exclusion of warranty; and each file should have at least the "copyright" line and a pointer to where the full notice is found. Copyright (C) This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program. If not, see . Also add information on how to contact you by electronic and paper mail. If the program does terminal interaction, make it output a short notice like this when it starts in an interactive mode: Copyright (C) This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. This is free software, and you are welcome to redistribute it under certain conditions; type `show c' for details. The hypothetical commands `show w' and `show c' should show the appropriate parts of the General Public License. Of course, your program's commands might be different; for a GUI interface, you would use an "about box". You should also get your employer (if you work as a programmer) or school, if any, to sign a "copyright disclaimer" for the program, if necessary. For more information on this, and how to apply and follow the GNU GPL, see . The GNU General Public License does not permit incorporating your program into proprietary programs. If your program is a subroutine library, you may consider it more useful to permit linking proprietary applications with the library. If this is what you want to do, use the GNU Lesser General Public License instead of this License. But first, please read .