JP. Morgan has release its CDS pricing and analysis model code!

The volatility surface implied by option prices presents a structure that changes over
time. The aim of this paper is to present a framework to model the implied volatility
of the FTSE options in real time, and to present a prototype application that
implements this framework. The authors adapt the parametric models presented in Dumas et
al (1998) to estimate the surfaces across moneyness instead of across strikes, they
discuss how this framework can be used in applications of option pricing and risk
management.

Everyday you write your quantitative finance code, test the code, crash; then modify it, test it, maybe crash again, and so on. Is there an automatic testing tool doing these boring, repetitive procedures for you? YES. Automatic Testing is a great tool to increase productivity and save time. It helps you catch bugs early by allowing frequent retesting of your code as you develop. This prevents code "regressing" in the sense of reintroducing previously identified and fixed bugs in later updates to your code.

Automatic Testing is made simple and quick through the use of unit testing frameworks, the most popular amongst these is xUnit which has implementations in most modern programming languages. For Matlab we have a version of mlUnit available for your use. In python, pyUnit is part of the standard library and is available as a standard package unittest. For R there is RUnit.


Main Benefits:  

much less time spent chasing bugs and debugging;
higher quality of code and software;
provides documentation of which functionality has been tested;
greater confidence to make changes to existing code since unit tests will catch incompatibilities early.

Whenever I opened my m files with Matlab, I was tired of looking for them one by one; the situation became worse for a big project with dozens of small m files. You might argue what we can do is to save all files of one project at a separated directory, well, that’s what I did, but with the expanding of project, sub-projects are created and some files are inter-correlated among those sub-projects. It therefore becomes unrealistic to separate those files any more. Is there a project management tool like Visual C++ does for cpp/hpp? mlProj is one good application I recently found.

mlProj is a tool for managing MATLAB projects. It considers
•  all opened m-files,
•  all figure windows,
•  the MATLAB path, and
•  the MATLAB workspace,
which are saved when a project is closed, and loaded when the project is opened. The projects are shown as a tree, which provides simple access to directories and files of the active project. The features include
•  add a new project,
•  open, save and close projects,
•  open files in the MATLAB editor,
•  delete files, directories and projects,
•  rename files and directories,
•  reload the tree view, and
•  add user-defined items to the mlProj menu.

WaveLab is a collection of Matlab functions to implement a variety of algorithms related to wavelet analysis. A partial list of the techniques made available:

orthogonal and biorthogonal wavelet transforms,
translation-invariant wavelets,
interpolating wavelet transforms,
cosine packets,
wavelet packets,
matching pursuit,
......

downloading at http://www-stat.stanford.edu/~wavelab/Wavelab_850/index_wavelab850.html