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Contents.m
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% COMPECON: COMPUTATIONAL ECONOMICS AND FINANCE
% Toolbox functions to accompany:
% Applied Computational Economics and Finance
% Mario J. Miranda & Paul L. Fackler
% 2002, MIT Press, Cambridge MA
% ISBN 0-262-13420-9
%
% ROOTFINDING AND OPTIMIZATION
% BISECT Uses method of bisection to find roots for 1-D functions
% BROYDEN Computes root of function via Broyden's Inverse Method
% BROYDENX Computes root of function via Broyden's Method
% FIXPOINT Computes fixpoint of function using function iteration
% GJACOBI Solves Ax=b using Jacobi iteration
% GOLDEN Computes local maximum of univariate function on interval via Golden Search
% GOLDENX Computes local maximum of univariate function on interval via Golden Search
% GSEIDEL Solves Ax=b using Gauss-Seidel iteration
% LCPBAARD Uses block Baard method to solve linear complementarity problem
% LCPLEMKE Solves linear complementarity problem using Lemke's algorithm
% LCPSOLVE Solves linear complementarity problem using safeguarded Newton method
% LEMKE Solves linear complementarity problems (LCPs).
% LPSOLVE Solves linear programming problems
% MINMAX Minimax transformation for solving NCP as rootfinding problem
% NCPJOSE Solves nonlinear complementarity problem using sequential LCP method
% NCPSOLVE Solves nonlinear complementarity problem
% NELDMEAD Maximizes function via Nelder-Mead algorithm
% NEWTON Computes root of function via Newton's Method with backstepping
% OPTSTEP Solves a one dimensional optimal step length problem
% QNEWTON Solves unconstrained maximization problem using quasi-Newton
% SMOOTH Reformulates an MCP as a semismooth function
%
% QUADRATURE
% QNWBETA Computes quadrature nodes and weights for Beta(a,b) distribution
% QNWCHEB Computes multivariate Guass-Chebyshev quadrature nodes and weights
% QNWEQUI Generates equidistributed sequences
% QNWGAMMA Quadrature nodes and weights for Gamma(a) distribution
% QNWLEGE Computes multivariate Guass-Legendre quadrature nodes and weights
% QNWLOGN Computes Gauss-Hermite nodes and weights multivariate lognormal distribution
% QNWNORM Computes nodes and weights for multivariate normal distribution
% QNWSIMP Computes multivariate Simpson quadrature nodes and weights
% QNWTRAP Computes multivariate trapezoid rule quadrature nodes and weights
% QNWUNIF Computes nodes and weights for multivariate uniform distribution
% QUADRECT Integrates function on a rectangular region in R^n
%
% FUNCTION APPROXIMATION
% CHEBBAS Computes basis matrices for Chebyshev polynomials
% CHEBDEF Defines parameters for Chebyshev polynomial functions
% CHEBDOP Creates differential operator matrices for Chebyshev polynomials.
% CHEBNODE Computes standard nodes for Chebyshev polynomials
% FOURBAS Defines basis matrices for Fourier series
% FOURDEF Defines parameters for Fourier basis functions
% FOURDOP Computes differential operator for Fourier functions
% FOURNODE Computes standard nodes for Fourier basis
% FUNBAS Computes a basis matrix
% FUNBASX Creates basis structures for function evaluation
% FUNBCONV Converts among basis structure formats
% FUNCONV Converts from one basis family to another
% FUND Evaluates functions and first 2 derivatives
% FUNDEF Creates a fauction family definition structure and/or performs checks
% FUNDEFN Defines a function family structure
% FUNDOP Computes derivative operators
% FUNEVAL Evaluates multivariate functions with linear bases.
% FUNFITF Computes interpolation coefficients for D-dim function.
% FUNFITXY Computes interpolation coefficients for d-dim function.
% FUNHESS Computes the Hessian for FUN functions
% FUNJAC Computes the Jacobian for FUN functions
% FUNNODE Computes default nodes for a family of functions
% LINBAS Piecewise linear basis functions
% LINDEF Computes standard breakpoints for linear spline
% LINDOP Differential operator for a piecewise linear function
% LINNODE Standard nodes for linear spline
% SPLIBAS Computes polynomial spline basis.
% SPLIDEF Defines default parameters for spline functions
% SPLIDOP Creates differential operator matrices for polynomial splines.
% SPLINODE Computes standard nodes for splines using knot averaging.
%
% DISCRETE TIME DYNAMIC MODELING
% DDPSIMUL Monte Carlo simulation of discrete-state/action controlled Markov process
% DDPSOLVE Solves discrete-state/action dynamic program
% DPCHECK Checks derivatives for dp files
% DISCRAND Discrete random variable simulator
% DPSIMUL Monte Carlo simulation of discrete time controlled Markov process
% DPSOLVE Solves discrete time continuous-state/action dynamic program
% DPSTST Computes invariant distribution for continuous-state/action controlled dynamic program
% GAMESOLVE Solves discrete time continuous-state/action Bellman equations for dynamic games
% LQAPPROX Forms and solves linear-quadratic approximation of DP model
% MARKOV Analyzes Markov transition probability matrices
% REMSIMUL Simulates state paths in rational expectations models
% REMSOLVE Solves rational expectations models
% REMSTST Computes invariant distribution for rational expectations models
%
% ODE SOLVERS AND CONTINUOUS TIME DYNAMIC MODELLING
% AFFASSET Solves affine asset pricing models
% BVPSOLVE Solves general first order boundary value problems
% CTBASEMAKE Basis matrices for continuous time collocation
% CTSTEADYSTATE Finds deterministic steady state for continuous time models
% FINDSTATE Calibrates an asset pricing model to data
% FINSOLVE Solves continuous time asset pricing problems
% ICSOLVE Solves continuous time impulse control models
% ITODENSITY Long-run densities for 1-D Ito processes
% ITOSIMUL Monte Carlo simulation of a (possibly) controlled Ito process
% RK4 Solves initial value problems using fourth-order Runge-Kutta
% RSSOLVE Solves continuous time regime switching models
% SCSOLVE Solves stochastic control problems
%
% UTILITIES
% CHECKJAC Compares analytic and finite difference derivative
% CHKFIELDS Checks if a variable S is a valid structure with fields F
% CKRON Repeated Kronecker products on a cell array of matrices
% CKRONX The product of repeated Kronecker products and a matrix
% CKRONXI The product of repeated inverse Kronecker products and a matrix
% CSIZE Returns dimension information for cell arrays
% GETINDEX Finds the index value of a point
% GRIDMAKE Forms grid points
% INDEX Converts between single and multiple indices
% KERNEL Computes a kernel estimate of a PDF
% TABLOOKUP Performs a table lookup
% MEXALL Creates MEX files for CompEcon toolbox
% MINTERP Multidimensional interpoation
% NODEUNIF Computes uniform nodes for intervals R^n
% OPTGET Utility to get previously set function default values
% OPTSET Utility to set function options
%
% SPECIAL FUNCTIONS AND MISC.
% BAW Barone-Adesi/Whaley American option pricing model
% BS Black-Scholes option pricing model
% CDFN Computes the CDF of the standard normal distribution
% CONFHYP Computes the confluent hypergeometric function
% DIGAMMA Computes the digamma (psi) function for positive arguments
% FDHESS Computes finite difference Hessian
% FDJAC Computes two-sided finite difference Jacobian
% FHESS Alternative finite difference Hessian procedure
% FJAC Alternative finite difference Jacobian procedure
% IMPVOL Computes option implied volatilities
% MONTNORM Computes pseudo-random multivariate normal variates
% PSI Calculates the value of the psi (digamma) function
% TRIGAMMA Calculates the value of the trigamma function