Function Varargout = Lmmpricing(Varargin)

function varargout = LMMpricing(varargin) % LMMPRICING M-file for LMMpricing.fig % LMMPRICING, by itself, creates a new LMMPRICING or raises the existing % singleton*. % % H = LMMPRICING returns the handle to a new LMMPRICING or the handle to % the existing singleton*. % % LMMPRICING('CALLBACK',hObject,eventData,handles,...) calls the local % function named CALLBACK in LMMPRICING.M with the given input arguments. % % LMMPRICING('Property','Value',...) creates a new LMMPRICING or raises the % existing singleton*. Starting from the left, property value pairs are % applied to the GUI before LMMpricing_OpeningFcn gets called. An % unrecognized property name or invalid value makes property application % stop. All inputs are passed to LMMpricing_OpeningFcn via varargin. % % *See GUI Options on GUIDE's Tools menu. Choose "GUI allows only one % instance to run (singleton)". % % See also: GUIDE, GUIDATA, GUIHANDLES

% Edit the above text to modify the response to help LMMpricing

% Last Modified by GUIDE v2.5 23-Jun-2010 18:19:38

% Begin initialization code - DO NOT EDIT gui_Singleton = 1; gui_State = struct('gui_Name', mfilename, ... 'gui_Singleton', gui_Singleton, ... 'gui_OpeningFcn', @LMMpricing_OpeningFcn, ... 'gui_OutputFcn', @LMMpricing_OutputFcn, ... 'gui_LayoutFcn', [] , ... 'gui_Callback', []); if nargin && ischar(varargin{1}) gui_State.gui_Callback = str2func(varargin{1}); end if nargout [varargout{1:nargout}] = gui_mainfcn(gui_State, varargin{:}); else gui_mainfcn(gui_State, varargin{:}); end % End initialization code - DO NOT EDIT

% --- Executes just before LMMpricing is made visible. function LMMpricing_OpeningFcn(hObject, eventdata, handles, varargin) % This function has no output args, see OutputFcn. % hObject handle to figure % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA) % varargin command line arguments to LMMpricing (see VARARGIN)

% Choose default command line output for LMMpricing handles.output = hObject; set(handles.ratingsRef, 'Value', 5); set(handles.ratingsIns, 'Value', 2); set(handles.ratingsInv, 'Value', 4); defprobs = xlsread('DPs.xls'); s = size(defprobs); z = zeros(s(1),1); defprobs = [z defprobs]; global invOnly invOnly = 0; global hazRates hazRates = 100*defprobs(:, 2:end)./(100-cumsum(defprobs(:, 1:end-1),2)) % Update handles structure guidata(hObject, handles);

% UIWAIT makes LMMpricing wait for user response (see UIRESUME) % uiwait(handles.figure1); function rates = interpolateRates(yearlyRates, years, freq) s = size(yearlyRates); %years = size(s,2); ratings = s(1); yearlyRates = [zeros(ratings,1) yearlyRates]; rates = []; for i = 1:years deltas = (-yearlyRates(:,i) + yearlyRates(:,i+1))/freq; for j = 1:freq rates = [rates (yearlyRates(:,i) + j*deltas)]; end end

% --- Outputs from this function are returned to the command line. function varargout = LMMpricing_OutputFcn(hObject, eventdata, handles) % varargout cell array for returning output args (see VARARGOUT); % hObject handle to figure % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Get default command line output from handles structure varargout{1} = handles.output;

function edit2_Callback(hObject, eventdata, handles) % hObject handle to edit2 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit2 as text % str2double(get(hObject,'String')) returns contents of edit2 as a double

% --- Executes during object creation, after setting all properties. function edit2_CreateFcn(hObject, eventdata, handles) % hObject handle to edit2 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% Hint: edit controls usually have a white background on Windows. % See ISPC and COMPUTER. if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor')) set(hObject,'BackgroundColor','white'); end

function couponValue_Callback(hObject, eventdata, handles) % hObject handle to couponValue (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of couponValue as text % str2double(get(hObject,'String')) returns contents of couponValue as a double

% --- Executes during object creation, after setting all properties. function couponValue_CreateFcn(hObject, eventdata, handles) % hObject handle to couponValue (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit4_Callback(hObject, eventdata, handles) % hObject handle to edit4 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit4 as text % str2double(get(hObject,'String')) returns contents of edit4 as a double

% --- Executes during object creation, after setting all properties. function edit4_CreateFcn(hObject, eventdata, handles) % hObject handle to edit4 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit5_Callback(hObject, eventdata, handles) % hObject handle to edit5 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit5 as text % str2double(get(hObject,'String')) returns contents of edit5 as a double

% --- Executes during object creation, after setting all properties. function edit5_CreateFcn(hObject, eventdata, handles) % hObject handle to edit5 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit6_Callback(hObject, eventdata, handles) % hObject handle to edit6 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit6 as text % str2double(get(hObject,'String')) returns contents of edit6 as a double

% --- Executes during object creation, after setting all properties. function edit6_CreateFcn(hObject, eventdata, handles) % hObject handle to edit6 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit7_Callback(hObject, eventdata, handles) % hObject handle to edit7 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit7 as text % str2double(get(hObject,'String')) returns contents of edit7 as a double

% --- Executes during object creation, after setting all properties. function edit7_CreateFcn(hObject, eventdata, handles) % hObject handle to edit7 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit8_Callback(hObject, eventdata, handles) % hObject handle to edit8 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit8 as text % str2double(get(hObject,'String')) returns contents of edit8 as a double

% --- Executes during object creation, after setting all properties. function edit8_CreateFcn(hObject, eventdata, handles) % hObject handle to edit8 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit9_Callback(hObject, eventdata, handles) % hObject handle to edit9 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit9 as text % str2double(get(hObject,'String')) returns contents of edit9 as a double

% --- Executes during object creation, after setting all properties. function edit9_CreateFcn(hObject, eventdata, handles) % hObject handle to edit9 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit10_Callback(hObject, eventdata, handles) % hObject handle to edit10 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit10 as text % str2double(get(hObject,'String')) returns contents of edit10 as a double

% --- Executes during object creation, after setting all properties. function edit10_CreateFcn(hObject, eventdata, handles) % hObject handle to edit10 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on button press in calculateButton. function calculateButton_Callback(hObject, eventdata, handles) % hObject handle to calculateButton (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA) set(handles.spread,'String','------'); pause(.1); years = round(str2num(get(handles.years, 'String'))); if years > 10 years = 10; set(handles.years, 'String', years); elseif years < 1 years = 1; set(handles.years, 'String', years); end

runs = str2num(get(handles.sims, 'String')); rhos = get(handles.corrTable, 'Data'); coupon = str2num(get(handles.couponValue, 'String'))/100; hazardRatesData = get(handles.referenceRateData, 'Data'); cdsSchedule = hazardRatesData(:,1); RRc = (get(handles.checkboxIns, 'Value'))*str2num(get(handles.rrIns, 'String'))/100; RRr = str2num(get(handles.rrRef, 'String'))/100; RRi = (get(handles.checkboxInv, 'Value'))*str2num(get(handles.rrInv, 'String'))/100; LMMorNo = get(handles.checkboxLMM, 'Value'); % if (LMMorNo == 0) % runs =1; % end couponData = get(handles.couponData, 'Data'); couponSchedule = couponData(:,1); steps = length(cdsSchedule);

% GENERATE accrued intersets between time t and t-1 for all runs randTimes = rand(runs, steps); sched = [cdsSchedule; years]; intervals = sched(2:end)- sched(1:end-1); tOfDefs = repmat(intervals',runs,1).*randTimes + repmat(cdsSchedule',runs,1); % time interval between curent time and previous % can be another distribution or simply mean uniform 0.5 for i=1:runs for j = 1:steps tDs(i,j) = timeFromCouponToDefault(tOfDefs(i,j), couponSchedule); end; end accruedInterest = tDs*coupon;

% FORWARD HAZARD RATES FOR REFERENCE hazardRatesRef = get(handles.referenceRateData, 'Data'); hazardRatesRef = hazardRatesRef(:,2)/100; volsRef = get(handles.referenceVolData, 'Data'); volsRef = volsRef(:,2)/100; lambdasRef = calc_vols(volsRef); forwardRatesRef = []; for i = 1:runs if LMMorNo forwardRatesRef = [forwardRatesRef; diag(forwards(hazardRatesRef, lambdasRef, years))']; else fprintf('turned off LMM for reference'); forwardRatesRef=[forwardRatesRef; hazardRatesRef']; end end %forwardRatesRef = mean(forwardRatesRef)

%set(handles.referenceRateData,'Data',[cdsSchedule 100*forwardRatesRef']);

% FORWARD HAZARD RATES FOR INVESTOR hazardRatesInv = get(handles.investorRateData, 'Data'); hazardRatesInv = hazardRatesInv(:,2)/100; volsInv = get(handles.investorVolData, 'Data'); volsInv = volsInv(:,2)/100; lambdasInv = calc_vols(volsInv); forwardRatesInv = []; for i = 1:runs if LMMorNo forwardRatesInv = [forwardRatesInv; diag(forwards(hazardRatesInv, lambdasInv, years))']; else fprintf('turned off LMM for investor') forwardRatesInv=[forwardRatesInv; hazardRatesInv']; end end %forwardRatesInv = mean(forwardRatesInv) %set(handles.investorRateData,'Data',[cdsSchedule 100*forwardRatesInv']);

% FORWARD HAZARD RATES FOR INSURER hazardRatesIns = get(handles.insurerRateData, 'Data'); hazardRatesIns = hazardRatesIns(:,2)/100; volsIns = get(handles.insurerVolData, 'Data'); volsIns = volsIns(:,2)/100; lambdasIns = calc_vols(volsIns); forwardRatesIns = []; for i = 1:runs if LMMorNo forwardRatesIns = [forwardRatesIns; diag(forwards(hazardRatesIns, lambdasIns, years))']; else fprintf('turned off LMM for insurer') forwardRatesIns = [forwardRatesIns; hazardRatesIns']; end end %forwardRatesIns = mean(forwardRatesIns) %set(handles.insurerRateData,'Data',[cdsSchedule 100*forwardRatesIns']);

% FORWARD RISK-FREE RATES rfRates = get(handles.rateData, 'Data'); rfRates = rfRates(:,2)/100; volRFRates = get(handles.rateVolData, 'Data'); volRFRates = volRFRates(:,2)/100; lambdasRate = calc_vols(volRFRates); forwardRFRates = []; for i = 1:runs if LMMorNo forwardRFRates = [forwardRFRates; diag(forwards(rfRates, lambdasRate, years))']; else fprintf('turned off LMM for rf rates') forwardRFRates = [forwardRFRates; rfRates']; end end %forwardRFRates = mean(forwardRFRates); %set(handles.rateData,'Data',[cdsSchedule 100*forwardRFRates']); spread = zeros(1,runs); bigEquationValues = zeros(1,runs); for i = 1:runs default_probs= zeros(steps,8); % default probabilities for this run for t=1:steps [default_probs(t,1), default_probs(t,2), default_probs(t,3), default_probs(t,4), default_probs(t,5), default_probs(t,6), default_probs(t,7), default_probs(t,8)]= joint_prob_lambda(forwardRatesRef(i, t),forwardRatesIns(i, t),forwardRatesInv(i, t),rhos); end % QUESTIONS: last parameter: time between default and last coupon % payment?? % TO DO: redo the delta_tau so that it takes a VECTOR OF TIME PERIODS % change the time periods,

% THIS SHOULD DO THE OPTIMIZATION options = optimset('LargeScale','off', 'Display', 'off'); s0 = 0; [s,fval,exitflag,output] = fminunc(@(s)bigequation(default_probs,RRr,accruedInterest(i,:), RRc,intervals,forwardRatesRef(i,:),forwardRFRates(i,:),steps(1),s,tDs(i,:), RRi),s0,options); bigEquationValues(i) = fval; spread(i) = s; end global cdsSpread cdsSpread = mean(spread); disp('MEAN OF THE BIG EQUATION :'); mean(bigEquationValues) set(handles.spread,'String',round(cdsSpread*100000)/1000);

% --- Executes on key press with focus on calculateButton and none of its controls. function calculateButton_KeyPressFcn(hObject, eventdata, handles) % hObject handle to calculateButton (see GCBO) % eventdata structure with the following fields (see UICONTROL) % Key: name of the key that was pressed, in lower case % Character: character interpretation of the key(s) that was pressed % Modifier: name(s) of the modifier key(s) (i.e., control, shift) pressed % handles structure with handles and user data (see GUIDATA)

function couponFreq_Callback(hObject, eventdata, handles) % hObject handle to couponFreq (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of couponFreq as text % str2double(get(hObject,'String')) returns contents of couponFreq as a double

% --- Executes during object creation, after setting all properties. function couponFreq_CreateFcn(hObject, eventdata, handles) % hObject handle to couponFreq (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function edit12_Callback(hObject, eventdata, handles) % hObject handle to edit12 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of edit12 as text % str2double(get(hObject,'String')) returns contents of edit12 as a double

% --- Executes during object creation, after setting all properties. function edit12_CreateFcn(hObject, eventdata, handles) % hObject handle to edit12 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function cdsFreq_Callback(hObject, eventdata, handles) % hObject handle to cdsFreq (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of cdsFreq as text % str2double(get(hObject,'String')) returns contents of cdsFreq as a double

% --- Executes during object creation, after setting all properties. function cdsFreq_CreateFcn(hObject, eventdata, handles) % hObject handle to cdsFreq (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on button press in applyButton. function applyButton_Callback(hObject, eventdata, handles) % hObject handle to applyButton (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA) global hazRates global invOnly set(handles.spread,'String','------'); couponFreq = str2num(get(handles.couponFreq,'String')); years = round(str2num(get(handles.years, 'String'))); if years > 10 years = 10; set(handles.years, 'String', years); elseif years < 1 years = 1; set(handles.years, 'String', years); end

coupon = str2num(get(handles.couponValue,'String')); delta = 1/couponFreq; timeData = [0:delta:years]'; set(handles.couponData,'Data',[timeData [0; coupon*ones(years*couponFreq , 1)/couponFreq]]);

cdsFreq = str2num(get(handles.cdsFreq,'String')); intRates = interpolateRates(hazRates,years, cdsFreq); delta = 1/cdsFreq; timeData = [0:delta:(years-delta)]'; insRating = get(handles.ratingsIns, 'Value'); invRating = get(handles.ratingsInv, 'Value'); refRating = get(handles.ratingsRef, 'Value');

%if invOnly == 0 set(handles.insurerRateData,'Data',[timeData intRates(insRating,:)']); set(handles.referenceRateData,'Data',[timeData intRates(refRating,:)']); %end set(handles.investorRateData,'Data',[timeData intRates(invRating,:)']); rfrates = 3*ones(years*cdsFreq ,1); set(handles.rateData,'Data',[timeData rfrates]); factr = [0:0.1:0.1*(length(timeData)-1)]';

%if invOnly == 0 set(handles.insurerVolData,'Data',[timeData 15 + factr]); set(handles.referenceVolData,'Data',[timeData 15 + factr]); %end set(handles.investorVolData,'Data',[timeData 15 + factr]);

%if invOnly == 0 % set(handles.insurerVolData,'Data',[timeData 0.1*intRates(insRating,:)']); % set(handles.referenceVolData,'Data',[timeData 0.1*intRates(refRating,:)']); % set(handles.investorVolData,'Data',[timeData 0.1*intRates(invRating,:)']); %end

%set(handles.rateVolData,'Data',[timeData 0.05*rfrates]); set(handles.rateVolData,'Data',[timeData 9 + factr]); set(handles.corrTable,'Data',[1 0.3 0.2; 0.3 1 0.01; 0.2 0.01 1]); set(handles.calculateButton,'Enable','on');

function principal_Callback(hObject, eventdata, handles) % hObject handle to principal (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of principal as text % str2double(get(hObject,'String')) returns contents of principal as a double

% --- Executes during object creation, after setting all properties. function principal_CreateFcn(hObject, eventdata, handles) % hObject handle to principal (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function years_Callback(hObject, eventdata, handles) % hObject handle to years (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of years as text % str2double(get(hObject,'String')) returns contents of years as a double

% --- Executes during object creation, after setting all properties. function years_CreateFcn(hObject, eventdata, handles) % hObject handle to years (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function sims_Callback(hObject, eventdata, handles) % hObject handle to sims (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of sims as text % str2double(get(hObject,'String')) returns contents of sims as a double

% --- Executes during object creation, after setting all properties. function sims_CreateFcn(hObject, eventdata, handles) % hObject handle to sims (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function rrRef_Callback(hObject, eventdata, handles) % hObject handle to rrRef (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of rrRef as text % str2double(get(hObject,'String')) returns contents of rrRef as a double

% --- Executes during object creation, after setting all properties. function rrRef_CreateFcn(hObject, eventdata, handles) % hObject handle to rrRef (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function rrIns_Callback(hObject, eventdata, handles) % hObject handle to rrIns (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of rrIns as text % str2double(get(hObject,'String')) returns contents of rrIns as a double

% --- Executes during object creation, after setting all properties. function rrIns_CreateFcn(hObject, eventdata, handles) % hObject handle to rrIns (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

function rrInv_Callback(hObject, eventdata, handles) % hObject handle to rrInv (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: get(hObject,'String') returns contents of rrInv as text % str2double(get(hObject,'String')) returns contents of rrInv as a double

% --- Executes during object creation, after setting all properties. function rrInv_CreateFcn(hObject, eventdata, handles) % hObject handle to rrInv (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on button press in checkboxIns. function checkboxIns_Callback(hObject, eventdata, handles) % hObject handle to checkboxIns (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA) % handles structure with handles and user data (see GUIDATA) val = get(handles.checkboxIns, 'Value'); if val > 0 set(handles.rrIns,'Visible','on'); set(handles.text14,'Visible','on'); else set(handles.rrIns,'Visible','off'); set(handles.text14,'Visible','off'); end

% Hint: get(hObject,'Value') returns toggle state of checkboxIns

% --- Executes on button press in checkboxInv. function checkboxInv_Callback(hObject, eventdata, handles) % hObject handle to checkboxInv (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA) val = get(handles.checkboxInv, 'Value'); set(handles.ratingsRef,'String', ['AAaa'; 'Awsd' ]); if val > 0 set(handles.rrInv,'Visible','on'); set(handles.text19,'Visible','on'); else set(handles.rrInv,'Visible','off'); set(handles.text19,'Visible','off'); end

% Hint: get(hObject,'Value') returns toggle state of checkboxInv

% --- If Enable == 'on', executes on mouse press in 5 pixel border. % --- Otherwise, executes on mouse press in 5 pixel border or over checkboxInv. function checkboxInv_ButtonDownFcn(hObject, eventdata, handles) % hObject handle to checkboxInv (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% --- Executes on selection change in popupmenu3. function popupmenu3_Callback(hObject, eventdata, handles) % hObject handle to popupmenu3 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: contents = get(hObject,'String') returns popupmenu3 contents as cell array % contents{get(hObject,'Value')} returns selected item from popupmenu3

% --- Executes during object creation, after setting all properties. function popupmenu3_CreateFcn(hObject, eventdata, handles) % hObject handle to popupmenu3 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% Hint: popupmenu controls usually have a white background on Windows. % See ISPC and COMPUTER. if ispc && isequal(get(hObject,'BackgroundColor'), get(0,'defaultUicontrolBackgroundColor')) set(hObject,'BackgroundColor','white'); end

% --- Executes on selection change in ratingsRef. function ratingsRef_Callback(hObject, eventdata, handles) % hObject handle to ratingsRef (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: contents = get(hObject,'String') returns ratingsRef contents as cell array % contents{get(hObject,'Value')} returns selected item from ratingsRef

% --- Executes during object creation, after setting all properties. function ratingsRef_CreateFcn(hObject, eventdata, handles) % hObject handle to ratingsRef (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on selection change in popupmenu2. function popupmenu2_Callback(hObject, eventdata, handles) % hObject handle to popupmenu2 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: contents = get(hObject,'String') returns popupmenu2 contents as cell array % contents{get(hObject,'Value')} returns selected item from popupmenu2

% --- Executes during object creation, after setting all properties. function popupmenu2_CreateFcn(hObject, eventdata, handles) % hObject handle to popupmenu2 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on selection change in ratingsIns. function ratingsIns_Callback(hObject, eventdata, handles) % hObject handle to ratingsIns (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: contents = get(hObject,'String') returns ratingsIns contents as cell array % contents{get(hObject,'Value')} returns selected item from ratingsIns

% --- Executes during object creation, after setting all properties. function ratingsIns_CreateFcn(hObject, eventdata, handles) % hObject handle to ratingsIns (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on button press in checkboxLMM. function checkboxLMM_Callback(hObject, eventdata, handles) % hObject handle to checkboxLMM (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hint: get(hObject,'Value') returns toggle state of checkboxLMM

% --- Executes on selection change in ratingsInv. function ratingsInv_Callback(hObject, eventdata, handles) % hObject handle to ratingsInv (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hints: contents = get(hObject,'String') returns ratingsInv contents as cell array % contents{get(hObject,'Value')} returns selected item from ratingsInv

% --- Executes during object creation, after setting all properties. function ratingsInv_CreateFcn(hObject, eventdata, handles) % hObject handle to ratingsInv (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles empty - handles not created until after all CreateFcns called

% --- Executes on button press in pushbutton3. function pushbutton3_Callback(hObject, eventdata, handles) palette = zeros(15,3); palette(1,:) = [93 138 168]; palette(2,:) = [227 38 54]; palette(3,:) = [205 38 130]; palette(4,:) = [255 191 0]; palette(5,:) = [164 198 57]; palette(6,:) = [0 0 255]; palette(7,:) = [0 128 0]; palette(8,:) = [109 53 26]; palette(9,:) = [138 43 226]; palette(10,:) = [204 0 0]; palette(11,:) = [0 0 0]; palette(12,:) = [0 66 37]; palette(13,:) = [255 167 0]; palette(14,:) = [0 250 154]; palette(15,:) = [50 20 20]; palette = palette/255; global cdsSpread; invDefOption = get(handles.radioInvDefaults, 'Value'); RROption = get(handles.radioRR, 'Value'); RRInvOption = get(handles.radioInvRR, 'Value'); yearsOption = get(handles.radioYears, 'Value'); scrsz = get(0,'ScreenSize'); h1 = figure('OuterPosition',[1 scrsz(4)/2 0.75*scrsz(3) scrsz(4)/2])

% parameters of the run ratings = get(handles.ratingsInv, 'String'); rri = horzcat('Investor RR: ', get(handles.rrInv, 'String'), '%'); if(get(handles.checkboxInv,'Value')) rrr = horzcat('Reference RR: ', get(handles.rrRef, 'String'), '%'); else rrr = horzcat('Reference RR: 0%'); end rrs = horzcat('Insurer RR:', get(handles.rrIns, 'String'), '%'); cdsfre = horzcat('CDS Frequency: ', get(handles.cdsFreq, 'String'), ''); y = horzcat('Years: ', get(handles.years, 'String')); coufre = horzcat('Coupon Frequency: ', get(handles.couponFreq, 'String')); coup = horzcat('Coupon: ', get(handles.couponValue, 'String'), '%'); irate = horzcat('Investor Rating: ', ratings{get(handles.ratingsInv, 'Value')}); srate = horzcat('Insurer Rating: ', ratings{get(handles.ratingsIns, 'Value')}); rrate = horzcat('Reference Rating: ', ratings{get(handles.ratingsRef, 'Value')}); runs = get(handles.sims, 'String'); if (invDefOption) box1text = {rri; rrr; rrs; cdsfre; y; coufre; coup; srate; rrate}; elseif (RROption) box1text = {rri; rrs; cdsfre; y; coufre; coup; srate; rrate}; elseif (RRInvOption) box1text = {rrr; rrs; cdsfre; y; coufre; coup; srate; rrate}; elseif(yearsOption) box1text = {rri; rrr; rrs; cdsfre; coufre; coup; srate; rrate}; end mTextBox = uicontrol('style','text'); set(mTextBox,'String',box1text); set(mTextBox, 'Position', [1 10 110 130]); set(mTextBox,'HorizontalAlignment','left');

if (invDefOption) for lmmCheck = 0:1 set(handles.checkboxLMM,'Value', lmmCheck); ratings = get(handles.ratingsInv, 'String'); ratingsCount = length(ratings); spreads_inv = zeros(ratingsCount,1); for i = 1:ratingsCount set(handles.ratingsInv, 'Value', i); applyButton_Callback(hObject, eventdata, handles); calculateButton_Callback(hObject, eventdata, handles); spreads_inv(i) = cdsSpread*100; end %invOnly = 0; subplot(1,2, lmmCheck + 1) ploth = plot(spreads_inv, 'o-'); set(gca,'XTick',1:ratingsCount) set(gca,'XTickLabel',ratings); set(ploth, 'Color', mod(palette(i,:),15)); if (lmmCheck) title(horzcat( 'LMM used (', runs,' runs)')); else title('Constant rates'); end end elseif (RROption) for lmmCheck = 0:1 set(handles.checkboxLMM,'Value', lmmCheck); range = 20:10:80 spreads_inv = zeros(length(range),1); for i = 1:length(range) set(handles.rrRef, 'String', num2str(range(i)));

ratings = get(handles.ratingsInv, 'String'); ratingsCount = length(ratings); spreads_inv = zeros(ratingsCount,1); for ii = 1:ratingsCount set(handles.ratingsInv, 'Value', ii); applyButton_Callback(hObject, eventdata, handles); calculateButton_Callback(hObject, eventdata, handles); spreads_inv(ii) = cdsSpread*100; end %invOnly = 0; subplot(1,2, lmmCheck + 1) hold on ploth = plot(spreads_inv, 'o-'); set(gca,'XTick',1:ratingsCount) set(gca,'XTickLabel',ratings); set(ploth, 'Color', mod(palette(i,:),15)); if (lmmCheck) title(horzcat( 'LMM used (', runs,' runs)')); else title('Constant rates'); end

end end for k = 1:length(range) labels(k,:) = ['Reference RR = ' int2str(range(k)) '%']; end legh = legend(labels); set(legh,'FontSize',7); elseif (RRInvOption) for lmmCheck = 0:1 set(handles.checkboxLMM,'Value', lmmCheck); range = 20:10:80 spreads_inv = zeros(length(range),1); for i = 1:length(range) set(handles.rrInv, 'String', num2str(range(i)));

end end for k = 1:length(range) labels(k,:) = ['Investor RR = ' int2str(range(k)) '%']; end legh = legend(labels); set(legh,'FontSize',7); elseif (yearsOption) for lmmCheck = 0:1 set(handles.checkboxLMM,'Value', lmmCheck); yrs = 1:8 spreads_inv = zeros(length(yrs),1); for i = 1:length(yrs) set(handles.years, 'String', num2str(yrs(i))); ratings = get(handles.ratingsInv, 'String'); ratingsCount = length(ratings); spreads_inv = zeros(ratingsCount,1); for ii = 1:ratingsCount set(handles.ratingsInv, 'Value', ii); applyButton_Callback(hObject, eventdata, handles); calculateButton_Callback(hObject, eventdata, handles); spreads_inv(ii) = cdsSpread*100; end %invOnly = 0; subplot(1,2, lmmCheck + 1) hold on ploth = plot(spreads_inv, 'o-'); set(gca,'XTick',1:ratingsCount) set(gca,'XTickLabel',ratings); set(ploth, 'Color', mod(palette(i,:),15));

if (lmmCheck) title(horzcat( 'LMM used (', runs,' runs)')); else title('Constant rates'); end end end

for k = 1:length(yrs) labels(k,:) = ['Duration = ' int2str(yrs(k)) 'yr'] end legh = legend(labels); set(legh,'FontSize',7); end a = 0;

% --- Executes on button press in radiobutton7. function radiobutton7_Callback(hObject, eventdata, handles) % hObject handle to radiobutton7 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hint: get(hObject,'Value') returns toggle state of radiobutton7

% --- Executes on button press in radiobutton8. function radiobutton8_Callback(hObject, eventdata, handles) % hObject handle to radiobutton8 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hint: get(hObject,'Value') returns toggle state of radiobutton8

% --- Executes on button press in radiobutton9. function radiobutton9_Callback(hObject, eventdata, handles) % hObject handle to radiobutton9 (see GCBO) % eventdata reserved - to be defined in a future version of MATLAB % handles structure with handles and user data (see GUIDATA)

% Hint: get(hObject,'Value') returns toggle state of radiobutton9