Calculates best-fit risk neutral transition matrix for a given input of cumulative percentage probabilities of default for rating categories as mentioned in Hull's book on Options and Derivatives, section 26.7

Note : I have not been able to test the program using fmincon , as it is not available on Octave. Transition matrix is negative if fmins is used because of no setable constraints. ( Resulting cumulative default probability matrix is however matching )

Backus/Dec 16, 98

This executable contains Matlab and related files to generate tables and figures for Backus, Foresi, and Telmer, "Discrete-time models of bond pricing." The paper will be published in a volume edited by Bruce Tuckman. Working paper versions are available on the NBER Web site (http://www.nber.org) and my own site (http://www.stern.nyu.edu/~dbackus).I welcome comments of all types.

On the files: most of the main file, tuck.m, should run on pretty much any Matlab installation. The exceptions are the 2-factor model, which uses routines from Matlab's optimization toolbox. Our experience has been that these routines change often enough that they are relatively fragile. But good luck!

Matlab code on the FFT computation of probability densities
Matlab code on the c.f. of the variance-gamma model
Matlab code on the FFT computation of option prices
Matlab code on regime switching ML estimation

Random numbers generation from 50+ distributions including
NIG, Pareto, Frechet, Gumbel, Laplace, etc.

Impementation of Unified Pricing of Asian Options by Jan Veˇceˇ