The following Matlab project contains the source code and Matlab examples used for cfh toolbox (characteristic function option pricing).
The CFH toolbox is a collection of characteristic function transform methods in finance that can be used for example for pricing American/European style options in affine jump diffusion models such as Heston or Pan, risk free bonds or CDS spread pricing in CIR or Vasicek specifications and many other models.
The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.
Project Files:
| File Name | Size |
|---|---|
| cf2american.m | 4580 |
| cf2bond.m | 5529 |
| cf2bondEx.m | 7113 |
| cf2call.m | 4764 |
| cf2gaby.m | 4692 |
| cf2pdf.m | 3615 |
| cf2spread.m | 5427 |
| cfaffine.m | 5947 |
| cfaffineEx.m | 8184 |
| cfh.m | 50161 |
| cfjump.m | 3687 |
| cflib.m | 5542 |
| cfneutralize.m | 3344 |
| Contents.m | 1055 |
| Black_Scholes.mat | 1385 |
| DefaultRisk.mat | 1469 |
| Heston.mat | 1448 |
| SVJ.mat | 1485 |
| cf2american.html | 11271 |
| cf2americanHelp.png | 3467 |
| cf2americanHelp_01.png | 7219 |
| cf2americanHelp_eq24873.png | 249 |
| cf2bond.html | 14360 |
| cf2bondEx.html | 12742 |
| cf2bondExHelp_eq07394.png | 5041 |
| cf2bondExHelp_eq16929.png | 3366 |
| cf2bondExHelp_eq17028.png | 3267 |
| cf2bondExHelp_eq25222.png | 4803 |
| cf2bondExHelp_eq26686.png | 351 |
| cf2bondExHelp_eq31461.png | 363 |
| cf2bondExHelp_eq42727.png | 415 |
| cf2bondExHelp_eq44653.png | 2065 |
| cf2bondExHelp_eq49452.png | 405 |
| cf2bondExHelp_eq50212.png | 7915 |
| cf2bondExHelp_eq73617.png | 408 |
| cf2bondExHelp_eq75715.png | 9405 |
| cf2bondExHelp_eq81664.png | 592 |
| cf2bondExHelp_eq85348.png | 6580 |
| cf2bondExHelp_eq87919.png | 295 |
| cf2bondHelp.png | 2812 |
| cf2bondHelp_01.png | 4802 |
| cf2bondHelp_02.png | 5372 |
| cf2bondHelp_eq03760.png | 462 |
| cf2bondHelp_eq10909.png | 1106 |
| cf2bondHelp_eq13829.png | 4847 |
| cf2bondHelp_eq16929.png | 3366 |
| cf2bondHelp_eq23351.png | 261 |
| cf2bondHelp_eq24873.png | 249 |
| cf2bondHelp_eq25861.png | 216 |
| cf2bondHelp_eq26686.png | 351 |
| cf2bondHelp_eq32639.png | 1771 |
| cf2bondHelp_eq35383.png | 3765 |
| cf2bondHelp_eq42727.png | 415 |
| cf2bondHelp_eq61258.png | 3037 |
| cf2bondHelp_eq68803.png | 305 |
| cf2bondHelp_eq71832.png | 3267 |
| cf2bondHelp_eq74498.png | 334 |
| cf2bondHelp_eq74958.png | 945 |
| cf2bondHelp_eq76946.png | 522 |
| cf2bondHelp_eq87919.png | 295 |
| cf2bondHelp_eq89825.png | 5227 |
| cf2bondHelp_eq99481.png | 1322 |
| cf2call.html | 29187 |
| cf2callHelp.png | 3424 |
| cf2callHelp_01.png | 6379 |
| cf2callHelp_02.png | 6901 |
| cf2callHelp_03.png | 7671 |
| cf2callHelp_04.png | 5813 |
| cf2callHelp_05.png | 6506 |
| cf2callHelp_06.png | 5464 |
| cf2callHelp_eq05018.png | 8727 |
| cf2callHelp_eq06953.png | 6486 |
| cf2callHelp_eq07716.png | 349 |
| cf2callHelp_eq08278.png | 248 |
| cf2callHelp_eq13089.png | 6267 |
| cf2callHelp_eq15848.png | 4703 |
| cf2callHelp_eq23351.png | 261 |
| cf2callHelp_eq25620.png | 7340 |
| cf2callHelp_eq32073.png | 954 |
| cf2callHelp_eq34838.png | 3566 |
| cf2callHelp_eq34890.png | 2960 |
| cf2callHelp_eq40386.png | 3816 |
| cf2callHelp_eq42994.png | 897 |
| cf2callHelp_eq44075.png | 3894 |
| cf2callHelp_eq57784.png | 1016 |
| cf2callHelp_eq58370.png | 3050 |
| cf2callHelp_eq60165.png | 6360 |
| cf2callHelp_eq66063.png | 1936 |
| cf2callHelp_eq68749.png | 3386 |
| cf2callHelp_eq68961.png | 370 |
| cf2callHelp_eq73866.png | 985 |
| cf2callHelp_eq76196.png | 4979 |
| cf2callHelp_eq77996.png | 243 |
| cf2callHelp_eq82641.png | 3620 |
| cf2callHelp_eq83476.png | 3776 |
| cf2callHelp_eq83979.png | 2436 |
| cf2callHelp_eq89024.png | 1632 |
| cf2callHelp_eq89126.png | 3865 |
| cf2callHelp_eq92990.png | 1453 |
| cf2callHelp_eq95398.png | 4910 |
| cf2callHelp_eq97925.png | 1326 |
| cf2callHelp_eq98624.png | 1751 |
| cf2gaby.html | 26450 |
| cf2gabyHelp.png | 2517 |
| cf2gabyHelp_01.png | 5394 |
| cf2gabyHelp_02.png | 5025 |
| cf2gabyHelp_eq05032.png | 569 |
| cf2gabyHelp_eq07369.png | 4335 |
| cf2gabyHelp_eq08712.png | 8071 |
| cf2gabyHelp_eq09112.png | 601 |
| cf2gabyHelp_eq09589.png | 1463 |
| cf2gabyHelp_eq09691.png | 6510 |
| cf2gabyHelp_eq14888.png | 438 |
| cf2gabyHelp_eq15399.png | 14219 |
| cf2gabyHelp_eq17314.png | 7136 |
| cf2gabyHelp_eq24296.png | 6337 |
| cf2gabyHelp_eq31011.png | 11161 |
| cf2gabyHelp_eq33940.png | 1413 |
| cf2gabyHelp_eq36543.png | 1005 |
| cf2gabyHelp_eq38700.png | 1646 |
| cf2gabyHelp_eq39436.png | 3750 |
| cf2gabyHelp_eq44491.png | 715 |
| cf2gabyHelp_eq47865.png | 7615 |
| cf2gabyHelp_eq52102.png | 4576 |
| cf2gabyHelp_eq54336.png | 471 |
| cf2gabyHelp_eq56280.png | 1608 |
| cf2gabyHelp_eq56440.png | 3578 |
| cf2gabyHelp_eq57315.png | 366 |
| cf2gabyHelp_eq57769.png | 859 |
| cf2gabyHelp_eq59989.png | 1015 |
| cf2gabyHelp_eq63254.png | 2522 |
| cf2gabyHelp_eq63904.png | 3504 |
| cf2gabyHelp_eq64407.png | 3357 |
| cf2gabyHelp_eq64946.png | 11153 |
| cf2gabyHelp_eq65885.png | 1226 |
| cf2gabyHelp_eq75778.png | 5922 |
| cf2gabyHelp_eq77038.png | 609 |
| cf2gabyHelp_eq78019.png | 6103 |
| cf2gabyHelp_eq80625.png | 11887 |
| cf2gabyHelp_eq84989.png | 2749 |
| cf2gabyHelp_eq86183.png | 3059 |
| cf2gabyHelp_eq87247.png | 1019 |
| cf2gabyHelp_eq89373.png | 539 |
| cf2gabyHelp_eq91133.png | 3051 |
| cf2gabyHelp_eq93882.png | 9401 |
| cf2gabyHelp_eq96892.png | 1228 |
| cf2gabyHelp_eq97142.png | 2973 |
| cf2pdf.html | 16964 |
| cf2pdfHelp.png | 2641 |
| cf2pdfHelp_01.png | 3288 |
| cf2pdfHelp_02.png | 4451 |
| cf2pdfHelp_03.png | 5719 |
| cf2pdfHelp_eq12150.png | 4336 |
| cf2pdfHelp_eq14438.png | 5701 |
| cf2pdfHelp_eq17709.png | 1936 |
| cf2pdfHelp_eq23351.png | 261 |
| cf2pdfHelp_eq25620.png | 7340 |
| cf2pdfHelp_eq27908.png | 6443 |
| cf2pdfHelp_eq29589.png | 5297 |
| cf2pdfHelp_eq34838.png | 3566 |
| cf2pdfHelp_eq40386.png | 3816 |
| cf2pdfHelp_eq42180.png | 3516 |
| cf2pdfHelp_eq42994.png | 897 |
| cf2pdfHelp_eq43551.png | 262 |
| cf2pdfHelp_eq44020.png | 318 |
| cf2pdfHelp_eq45914.png | 1757 |
| cf2pdfHelp_eq64281.png | 4125 |
| cf2pdfHelp_eq68661.png | 592 |
| cf2pdfHelp_eq75241.png | 1713 |
| cf2pdfHelp_eq76673.png | 6304 |
| cf2pdfHelp_eq77038.png | 609 |
| cf2pdfHelp_eq81664.png | 592 |
| cf2pdfHelp_eq89373.png | 539 |
| cf2pdfHelp_eq91716.png | 4808 |
| cf2pdfHelp_eq97771.png | 2959 |
| cf2spread.html | 16343 |
| cf2spreadHelp.png | 2850 |
| cf2spreadHelp_01.png | 5741 |
| cf2spreadHelp_eq07153.png | 4155 |
| cf2spreadHelp_eq09431.png | 3439 |
| cf2spreadHelp_eq11580.png | 995 |
| cf2spreadHelp_eq32230.png | 4319 |
| cf2spreadHelp_eq43058.png | 7645 |
| cf2spreadHelp_eq47076.png | 698 |
| cf2spreadHelp_eq61903.png | 7255 |
| cf2spreadHelp_eq93828.png | 3375 |
| cfaffine.html | 26023 |
| cfaffineEx.html | 17957 |
| cfaffineExHelp_eq08588.png | 1179 |
| cfaffineExHelp_eq12222.png | 6703 |
| cfaffineExHelp_eq20455.png | 1427 |
| cfaffineExHelp_eq25505.png | 5753 |
| cfaffineExHelp_eq27167.png | 1128 |
| cfaffineExHelp_eq31461.png | 363 |
| cfaffineExHelp_eq38700.png | 1646 |
| cfaffineExHelp_eq39850.png | 341 |
| cfaffineExHelp_eq40985.png | 7343 |
| cfaffineExHelp_eq45348.png | 660 |
| cfaffineExHelp_eq49417.png | 2378 |
| cfaffineExHelp_eq71619.png | 2221 |
| cfaffineExHelp_eq73617.png | 408 |
| cfaffineExHelp_eq74071.png | 1878 |
| cfaffineExHelp_eq77038.png | 609 |
| cfaffineExHelp_eq77996.png | 243 |
| cfaffineExHelp_eq81821.png | 11995 |
| cfaffineExHelp_eq82686.png | 8157 |
| cfaffineExHelp_eq84824.png | 3927 |
| cfaffineExHelp_eq90634.png | 1151 |
| cfaffineExHelp_eq94572.png | 753 |
| cfaffineExHelp_eq98076.png | 984 |
| cfaffineExHelp_eq98117.png | 3928 |
| cfaffineHelp.png | 5064 |
| cfaffineHelp_01.png | 6912 |
| cfaffineHelp_eq01690.png | 5735 |
| cfaffineHelp_eq05032.png | 569 |
| cfaffineHelp_eq07369.png | 4335 |
| cfaffineHelp_eq08712.png | 8071 |
| cfaffineHelp_eq14641.png | 7618 |
| cfaffineHelp_eq17314.png | 7136 |
| cfaffineHelp_eq25620.png | 7340 |
| cfaffineHelp_eq27410.png | 449 |
| cfaffineHelp_eq28128.png | 223 |
| cfaffineHelp_eq28566.png | 2238 |
| cfaffineHelp_eq31413.png | 278 |
| cfaffineHelp_eq33559.png | 728 |
| cfaffineHelp_eq34838.png | 3566 |
| cfaffineHelp_eq42727.png | 415 |
| cfaffineHelp_eq42994.png | 897 |
| cfaffineHelp_eq47865.png | 7615 |
| cfaffineHelp_eq52102.png | 4576 |
| cfaffineHelp_eq54336.png | 471 |
| cfaffineHelp_eq59265.png | 4185 |
| cfaffineHelp_eq63254.png | 2522 |
| cfaffineHelp_eq63904.png | 3504 |
| cfaffineHelp_eq77038.png | 609 |
| cfaffineHelp_eq77587.png | 7448 |
| cfaffineHelp_eq78019.png | 6103 |
| cfaffineHelp_eq79840.png | 1203 |
| cfaffineHelp_eq83677.png | 2023 |
| cfaffineHelp_eq84989.png | 2749 |
| cfaffineHelp_eq85018.png | 546 |
| cfaffineHelp_eq87919.png | 295 |
| cfaffineHelp_eq89373.png | 539 |
| cfaffineHelp_eq93420.png | 2114 |
| cfaffineHelp_eq97142.png | 2973 |
| cfh.html | 18338 |
| cfh1.jpg | 215849 |
| cfh2.jpg | 220819 |
| cfh3.jpg | 147540 |
| cfh4.jpg | 235261 |
| cfh4divyields.jpg | 34479 |
| cfh5.jpg | 184772 |
| cfh5gaby.jpg | 33313 |
| cfh6.jpg | 192144 |
| cfhHelp_eq93863.png | 2276 |
| cfjump.html | 25127 |
| cfjumpHelp.png | 2113 |
| cfjumpHelp_01.png | 3182 |
| cfjumpHelp_02.png | 4407 |
| cfjumpHelp_eq00433.png | 5662 |
| cfjumpHelp_eq09410.png | 364 |
| cfjumpHelp_eq13352.png | 429 |
| cfjumpHelp_eq14833.png | 365 |
| cfjumpHelp_eq15942.png | 647 |
| cfjumpHelp_eq26832.png | 5711 |
| cfjumpHelp_eq27410.png | 449 |
| cfjumpHelp_eq40980.png | 623 |
| cfjumpHelp_eq44020.png | 318 |
| cfjumpHelp_eq48385.png | 1952 |
| cfjumpHelp_eq59938.png | 1263 |
| cfjumpHelp_eq68676.png | 3967 |
| cfjumpHelp_eq69798.png | 771 |
| cfjumpHelp_eq73206.png | 826 |
| cfjumpHelp_eq73251.png | 963 |
| cfjumpHelp_eq79674.png | 525 |
| cfjumpHelp_eq81479.png | 5798 |
| cfjumpHelp_eq86607.png | 319 |
| cflib.html | 12877 |
| cflibHelp.png | 2329 |
| cflibHelp_01.png | 3288 |
| cflibHelp_02.png | 4963 |
| cflibHelp_03.png | 4754 |
| cflibHelp_eq18558.png | 442 |
| cflibHelp_eq19382.png | 697 |
| cflibHelp_eq23351.png | 261 |
| cflibHelp_eq25620.png | 7340 |
| cflibHelp_eq34838.png | 3566 |
| cflibHelp_eq35827.png | 4794 |
| cflibHelp_eq40386.png | 3816 |
| cflibHelp_eq42286.png | 5297 |
| cflibHelp_eq42994.png | 897 |
| cflibHelp_eq60165.png | 6360 |
| cflibHelp_eq60229.png | 3347 |
| cflibHelp_eq68504.png | 4392 |
| cflibHelp_eq68749.png | 3386 |
| cflibHelp_eq74632.png | 490 |
| cflibHelp_eq81664.png | 592 |
| cflibHelp_eq81831.png | 388 |
| cflibHelp_eq97193.png | 456 |
| cfneutralize.html | 12985 |
| cfneutralizeHelp_eq06318.png | 4720 |
| cfneutralizeHelp_eq15381.png | 4862 |
| cfneutralizeHelp_eq23351.png | 261 |
| cfneutralizeHelp_eq26370.png | 6396 |
| cfneutralizeHelp_eq28032.png | 3762 |
| cfneutralizeHelp_eq35595.png | 3999 |
| cfneutralizeHelp_eq45540.png | 2816 |
| cfneutralizeHelp_eq50913.png | 276 |
| cfneutralizeHelp_eq69210.png | 4989 |
| cfneutralizeHelp_eq71576.png | 4697 |
| cfneutralizeHelp_eq73735.png | 4725 |
| cfneutralizeHelp_eq79796.png | 3262 |
| cfneutralizeHelp_eq81664.png | 592 |
| cfneutralizeHelp_eq86413.png | 3399 |
| figGaby.jpg | 4875 |
| helptoc.xml | 956 |
| Main.html | 24246 |
| Main_eq00320.png | 853 |
| Main_eq03323.png | 309 |
| Main_eq03598.png | 364 |
| Main_eq08291.png | 7347 |
| Main_eq11706.png | 440 |
| Main_eq16303.png | 638 |
| Main_eq16929.png | 3366 |
| Main_eq18435.png | 1721 |
| Main_eq27869.png | 212 |
| Main_eq27910.png | 1572 |
| Main_eq29295.png | 1514 |
| Main_eq31461.png | 363 |
| Main_eq32732.png | 2207 |
| Main_eq32878.png | 7502 |
| Main_eq34096.png | 634 |
| Main_eq35435.png | 283 |
| Main_eq35525.png | 3400 |
| Main_eq35867.png | 626 |
| Main_eq36746.png | 4734 |
| Main_eq37148.png | 516 |
| Main_eq39537.png | 9040 |
| Main_eq43341.png | 6733 |
| Main_eq44020.png | 318 |
| Main_eq44653.png | 11010 |
| Main_eq45348.png | 660 |
| Main_eq52353.png | 1228 |
| Main_eq60880.png | 5955 |
| Main_eq68501.png | 558 |
| Main_eq72112.png | 2433 |
| Main_eq73119.png | 6698 |
| Main_eq73617.png | 408 |
| Main_eq73866.png | 985 |
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| Main_eq77049.png | 1432 |
| Main_eq81664.png | 592 |
| Main_eq82712.png | 583 |
| Main_eq84823.png | 7473 |
| Main_eq85064.png | 1214 |
| Main_eq85257.png | 4427 |
| Main_eq86143.png | 6487 |
| Main_eq87833.png | 8850 |
| Main_eq88735.png | 642 |
| Main_eq90647.png | 1263 |
| Main_eq91833.png | 455 |
| Main_eq93816.png | 2768 |
| Main_eq93882.png | 9401 |
| Main_eq97939.png | 3964 |
| Main_eq99329.png | 883 |
| Main_eq99938.png | 583 |
| info.xml | 433 |
| install.m | 124 |
| readme.txt | 826 |
| license.txt | 1308 |
