Financial instruments toolbox

Have questions? Contact Sales. Financial Instruments Toolbox provides functionality for pricing, modeling, hedging, and managing an instrument portfolio, financial instruments toolbox. You can analyze cash flows for fixed-income securities and derivative instruments including interest-rate, inflation, equity, commodity, credit, and energy instruments.

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

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. Create interest-rate instrument object, associate the object with a model, and specify pricing method. Create inflation instrument object, associate an inflation curve object, and specify pricing method. Create equity, FX, commodity, or energy instrument object, associate the object with a model, and specify pricing method. Create credit derivative instrument object, associate the object with a model, and specify pricing method. Price interest-rate, equity, commodity, foreign exchange, credit derivative instruments, mortgage-backed securities using functions. 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. Other MathWorks country sites are not optimized for visits from your location. Toggle Main Navigation.

Based on your location, we recommend that you select:. Contact sales Trial software. Documentation Examples.

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.

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. Create interest-rate instrument object, associate the object with a model, and specify pricing method. Create inflation instrument object, associate an inflation curve object, and specify pricing method. Create equity, FX, commodity, or energy instrument object, associate the object with a model, and specify pricing method. Create credit derivative instrument object, associate the object with a model, and specify pricing method. Basel regulatory requirements for modeling and analysis of credit risk and market risk. Price interest-rate, equity, commodity, foreign exchange, credit derivative instruments, mortgage-backed securities using functions. Choose a web site to get translated content where available and see local events and offers.

Financial instruments toolbox

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. Based on your location, we recommend that you select:.

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Price Vanilla and exotic options with Black-Scholes and stochastic volatility models using Monte Carlo simulations, multiple closed-form solutions, and finite differences methods. Get a free trial. Choose a web site to get translated content where available and see local events and offers. 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:. 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. View more related videos. What's Next? Financial Instruments Toolbox Design, price, and hedge complex financial instruments. 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. Get Latest Price from the seller. Based on your location, we recommend that you select:. Price credit instruments using a default probability curve.

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Free Financial Instruments Toolbox Trial. Credit Derivative Instruments Price credit default swaps and credit default swap options. Featured Product Financial Instruments Toolbox. 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. Create interest-rate instrument object, associate the object with a model, and specify pricing method. Open Mobile Search. Videos Videos MathWorks Search. Panel Navigation Free ebook. Contact Sales. Videos and Webinars. 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. Main Content. Compute the default probability and hazard rate values from market data.