Financial instruments toolbox

For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes.

You can use the toolbox to perform cash-flow modeling and yield curve fitting analysis, compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods. The toolbox lets you create new financial instrument types, fit yield curves to market data using parametric fitting models and bootstrapping, and construct dual curve based pricing models. You can price and analyze fixed-income and equity instruments. For fixed-income modeling, you can calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For equities, you can compute price, implied volatility, and greek values of vanilla options and several exotic derivatives. For credit derivatives, the toolbox includes credit default swap pricing and default probability curve modeling functions.

Financial instruments toolbox

Have questions? Contact Sales. Financial Instruments Toolbox provides functionality for pricing, modeling, hedging, and managing an instrument portfolio. You can analyze cash flows for fixed-income securities and derivative instruments including interest-rate, inflation, equity, commodity, credit, and energy instruments. The toolbox provides a modular framework that supports a wide range of workflows and enables you to price instruments with a variety of models and pricing methods. Analyze or bootstrap interest-rate curves from market data using ratecurve. Estimate parameters for yield curve models using a parametercurve object. Documentation Examples. Price, compute sensitivity, and perform hedging analysis for interest-rate securities. Price bonds, floating-rate notes, swaps, swaptions, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and closed-form solutions. Price Vanilla and exotic options with Black-Scholes and stochastic volatility models using Monte Carlo simulations, multiple closed-form solutions, and finite differences methods. Price credit default swaps and credit default swap options.

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You will learn the conceptual framework of how to use the object-based framework for pricing various instruments, including equity options, interest-rate instruments, credit default swaps, and credit default swap options. The functionality also allows you to individually price a financial instrument as well as collectively price a portfolio of financial instruments. View more related videos. Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select:. Select the China site in Chinese or English for best site performance.

Help Center Help Center. For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models. Use the instadd function to create an instrument portfolio or to add new instruments to an existing portfolio using functions. You can create instruments and manage a collection of instruments as a portfolio using functions. This example demonstrates analyzing German Euro-Bund futures traded on Eurex. This example demonstrates how to use treeviewer to examine tree information for a Hull-White tree when you price a European callable bond. Generic fixed-rate mortgage pools and balloon mortgages have pass-through certificates PC that typically have embedded call options in the form of prepayment. Choose a web site to get translated content where available and see local events and offers.

Financial instruments toolbox

Have questions? Contact Sales. Financial Instruments Toolbox provides functionality for pricing, modeling, hedging, and managing an instrument portfolio. You can analyze cash flows for fixed-income securities and derivative instruments including interest-rate, inflation, equity, commodity, credit, and energy instruments. The toolbox provides a modular framework that supports a wide range of workflows and enables you to price instruments with a variety of models and pricing methods. Analyze or bootstrap interest-rate curves from market data using ratecurve. Estimate parameters for yield curve models using a parametercurve object. Documentation Examples. Price, compute sensitivity, and perform hedging analysis for interest-rate securities. Price bonds, floating-rate notes, swaps, swaptions, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and closed-form solutions.

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I agree to the terms and privacy policy. View Complete Details. Based on your location, we recommend that you select:. Curve Models Analyze or bootstrap interest-rate curves from market data using ratecurve. For energy derivatives, you can model exotic and vanilla options. Create interest-rate instrument object, associate the object with a model, and specify pricing method. Financial Instruments Toolbox Design, price, and hedge complex financial instruments. Financial Instruments Toolbox. Select the China site in Chinese or English for best site performance. Supported models include geometric Brownian motion, Merton76 jump diffusion, Bates and Heston stochastic volatility models, and the local volatility model. Equity, FX, Commodity, or Energy Instruments Price Vanilla and exotic options with Black-Scholes and stochastic volatility models using Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.

For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models.

Search MathWorks. Yield Curve and Interest Rate Term Structure Fit yield curves to market data using several approaches, including the bootstrap method, parametric models such as Nelson-Siegel, Svensson, and smoothing spline , and custom functions. Pricing and Valuation of Credit Default Swaps. Contact Supplier. Create inflation instrument object, associate an inflation curve object, and specify pricing method. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models. Product Specification Brand Math Work. Send SMS. Get Latest Price. Open Mobile Search.