Version 3.3 (R2007b) Financial Toolbox™ Software Release Notes

Version 3.3 (R2007b) Financial Toolbox™ Software

This table summarizes new features in Version 3.3 (R2007b).

New features and changes introduced in this version are:

• ISMA Support for 30/360 Basis as a Variant of 30/360E with Annual Compounding

• createholidays Function Added for Different Trading Calendars

• Diagonal Covariance Matrix Support Added for Multivariate Normal Regression

• arith2geom and geom2arith Functions Added for Portfolio Analysis

ISMA Support for 30/360 Basis as a Variant of 30/360E with Annual Compounding

The following functions now support day count conventions for the basis argument to support 30/360 International Securities Market Association (ISMA) convention as a variant of 30/360E with annual compounding:

• accrfrac

• acrubond

• acrudisc

• bndconvp

• bndconvy

• bnddurp

• bnddury

• bndprice

• bndspread

• bndyield

• cfamounts

• cfdates

• cftimes

• cpncount

• cpndaten

• cpndatenq

• cpndatep

• cpndatepq

• cpndaysn

• cpnpersz

• datemnth

• daysadd

• daysdif

• disc2zero

• discrate

• fvdisc

• fwd2zero

• prbyzero

• prdisc

• prmat

• pyld2zero

• time2date

• yeardays

• yearfrac

• ylddisc

• yldmat

• zbtprice

• zbtyield

• zero2disc

• zero2fwd

• zero2pyld

createholidays Function Added for Different Trading Calendars

The createholidays function now supports http://www.FinancialCalendar.com trading calendars. This function can be used from the command line or from the Trading Calendars graphical user interface. Using createholidays, you can create holiday.m files, in conjunction with FinancialCalendar.com data, that can be used instead of the standard holidays.m that ships with Financial Toolbox™ software.

Diagonal Covariance Matrix Support Added for Multivariate Normal Regression

The new diagonal covariance matrix estimation feature makes it possible to estimate large-scale factor models by treating the residual errors as being jointly independent. The following functions support CovarFormat, a new input argument:

• ecmlsrmle

• ecmmvnrmle

• ecmmvnrfish

• ecmmvnrobj

• ecmmvnrstd

• mvnrfish

• mvnrmle

• mvnrobj

• mvnrstd

arith2geom and geom2arith Functions Added for Portfolio Analysis

Two new functions, arith2geom and geom2arith, support portfolio analysis.

Version 3.4 (R2008a) Financial Toolbox™ Software

Version 3.2 (R2007a) Financial Toolbox™ Software