MSc Financial Mathematics: Multi-Curve Modeling, Risk, Performance Attribution

Developed as part of a master's thesis project at Linköping University, Sweden.

Written work is yet to be published as the project is still ongoing.

Setup

TODO

Name		Name	Last commit message	Last commit date
Latest commit History 275 Commits
CurveLibrary		CurveLibrary
Data		Data
DataValidation		DataValidation
Dependencies		Dependencies
Feedback		Feedback
InterestRateMeasurement		InterestRateMeasurement
Interface		Interface
MathLibrary		MathLibrary
Matlab/Simulation		Matlab/Simulation
ParameterEstimation		ParameterEstimation
PerformanceAttribution		PerformanceAttribution
RiskFactorCalculation		RiskFactorCalculation
RiskMeasurement		RiskMeasurement
TermStructureSimulation		TermStructureSimulation
TestArea		TestArea
.gitignore		.gitignore
.gitmodules		.gitmodules
FXcurves.xlsx		FXcurves.xlsx
README.md		README.md
RIC_Data_by_Ccy.xlsx		RIC_Data_by_Ccy.xlsx
RiskBacktestWrapper.m		RiskBacktestWrapper.m
Risk_Measurement_Backtesting.xlsm		Risk_Measurement_Backtesting.xlsm
mexPortfolio.mexw64		mexPortfolio.mexw64
path.mat		path.mat
portfolioVBA.dll		portfolioVBA.dll