I am currently working on a university project and I hope someone can help me out with a rather silly question :-) I want to analyse the change in the shape of risk-neutral density functions of spot GBPEUR before Brexit. I've chosen as potential dates May 1, 2015 and May 1, 2016. What data should I gather from Bloomberg? As aware as I am, Bloomberg would give me the volatility skews but not the risk-neutral densities of course. So, by using MATLAB, how can I get the risk-neutral density? What data should I get?
I was thinking of using this MATLAB app: https://uk.mathworks.com/company/newsletters/articles/estimating-risk-neutral-density-from-option-prices-with-a-matlab-app.html , but I would like to receive some advice about the data that I need to use.