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Asset-Liability Management using MATLAB (Code and App)

version 1.0.1 (198 KB) by Kawee Numpacharoen
Learn how to use MATLAB to perform cash flow analysis, duration gap computation, and sensitivity analysis.

10 Downloads

Updated 25 Apr 2019

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This code example shows how to perform tasks related to asset-liability management (ALM), including:
- Cash flow analysis (Part 1)
- Duration gap computation (Part 2a)
- Sensitivity analysis (Part 2b)

In this code example, you will also see how to incorporate interest rate trees (e.g., Black-Karasinski interest-rate tree) into ALM modeling. Such interest rate trees can be used to calculate the duration of financial instruments, duration gap, and net worth.

For the app deployment part, you may need to use MATLAB Compiler, MATLAB Compiler SDK, or other tools (depending on your deployment strategy).

Cite As

Kawee Numpacharoen (2019). Asset-Liability Management using MATLAB (Code and App) (https://www.mathworks.com/matlabcentral/fileexchange/70144-asset-liability-management-using-matlab-code-and-app), MATLAB Central File Exchange. Retrieved .

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Updates

1.0.1

1.01: Bug Fix on creating AlphaDates

MATLAB Release Compatibility
Created with R2018b
Compatible with R2018b to any release
Platform Compatibility
Windows macOS Linux