MATLAB Derivatives Pricing
Derivatives pricing based on 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi.
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A MATLAB version of derivatives pricing based on C++ Design Patterns and Derivatives Pricing by Mark Joshi.
This implementation makes use of Dependency Injection for constructing the pricing application. The Chebfun library is used for pricing some vanilla options as an example of how different pricing engines may be plugged in to the application.
Cite As
Matt McDonnell (2026). MATLAB Derivatives Pricing (https://github.com/mattmcd/mdpr), GitHub. Retrieved .
Acknowledgements
Inspired by: Chebfun - current version, MATLAB Dependency Injection
General Information
- Version 1.0.0.0 (8.76 KB)
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View License on GitHub
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
Versions that use the GitHub default branch cannot be downloaded
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
