# Tag Info

13

Of course it is fast enough. But what is fast enough? I know guys who trade off Excel sheets and they make millions, but those guys are clearly not active in high frequency space. So, it entirely depends on your trading frequency and average holding period. I also know of shops that run live trading systems by calling R functions, so, obviously Matlab ...

4

If I understand you right, you are talking specifically about Matlab's embedded code generation facility (see here: http://www.mathworks.ch/embedded-code-generation/). In my view, the answer to your question is clearly yes. This feature allows you to generate hardware specific code, e.g. for deployment on GPU's (video cards). It's used for aerospace ...

4

I found these nice lecture note by Karl Sigman on the web. On page three you see if $X\sim N(\mu,\sigma)$ then the moment generating function (mgf) of $X$ is given by $$M_X(s) = E(exp(sX)) = \exp( \mu s + \sigma^2 s^2 /2)$$ Thus for Brownian motion with drift $X_t$ you get $$M_{X_t}(s) = E(exp(s X_t)) = \exp( \mu t s + \sigma^2 s^2 t /2).$$ Finally for ...

3

No, rng does not do the same as rand. rng sets the seed for the random number generator and rand generates random numbers. Also it can be seen in documentation that the rng function only accepts positive integers. Usually random number generator algorithms start with integers for the seed. For various examples: C random function takes the system clock as ...

1

I don't know what is supported by MatLab (I use Java to do such stuff :-). But in case you do not find a solution from the swapbyzero function you mentioned I can suggest a workaround: Value a swap with the annual fix frequence. Given that it is a payer swap (pays the fixed leg), correct the value by: Substract the value of an annual fix coupon bond ...

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