Asset-Liability Management using MATLAB (Code and App)

Version 1.0.1 (198 ko) par MathWorks Quant Team
Learn how to use MATLAB to perform cash flow analysis, duration gap computation, and sensitivity analysis.
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Mise à jour 25 avr. 2019

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This code example shows how to perform tasks related to asset-liability management (ALM), including:
- Cash flow analysis (Part 1)
- Duration gap computation (Part 2a)
- Sensitivity analysis (Part 2b)

In this code example, you will also see how to incorporate interest rate trees (e.g., Black-Karasinski interest-rate tree) into ALM modeling. Such interest rate trees can be used to calculate the duration of financial instruments, duration gap, and net worth.

For the app deployment part, you may need to use MATLAB Compiler, MATLAB Compiler SDK, or other tools (depending on your deployment strategy).

Citation pour cette source

MathWorks Quant Team (2024). Asset-Liability Management using MATLAB (Code and App) (https://www.mathworks.com/matlabcentral/fileexchange/70144-asset-liability-management-using-matlab-code-and-app), MATLAB Central File Exchange. Extrait(e) le .

Compatibilité avec les versions de MATLAB
Créé avec R2018b
Compatible avec les versions R2018b et ultérieures
Plateformes compatibles
Windows macOS Linux
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Version Publié le Notes de version
1.0.1

1.01: Bug Fix on creating AlphaDates
1.0.0