Learn more about Financial Derivatives Toolbox

Version 5.0 (R2007a) Financial Derivatives Toolbox Software

This table summarizes what's new in Version 5.0 (R2007a):

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems	Related Documentation at Web Site
Yes Details below	No	Bug Reports	No

New features and changes introduced in this version are:

• Pricing and Sensitivity from the Implied Trinomial Tree Stock Tree

• Implied Trinomial Tree Utilities

• Enhancement to the treeviewer Function

• ISMA Support

Pricing and Sensitivity from the Implied Trinomial Tree Stock Tree

The following table summarizes the functions supported for pricing and sensitivity from implied trinomial trees.

Function	Purpose
ittprice	Price instruments by an implied trinomial tree.
ittsens	Instrument sensitivities and prices by an implied trinomial tree.
itttree	Build an implied trinomial stock tree.
itttimespec	Specify time structure for an implied trinomial tree.
stockoptspec	Specify European stock options structure.

Implied Trinomial Tree Utilities

The following table summarizes the functions supported for implied trinomial trees.

Function	Purpose
optstockbyitt	Price options on stocks by an implied trinomial tree.
barrierbyitt	Price barrier options by an implied trinomial tree.
asianbyitt	Price Asian options by an implied trinomial tree.
lookbackbyitt	Price lookback option from an implied trinomial tree.
compoundbyitt	Price compound options by an implied trinomial tree.

Enhancement to the treeviewer Function

The treeviewer function, which provides a graphical display of rates and prices, has been modified to accept Implied Trinomial Trees (ITTs) as input.

ISMA Support

The following functions now support the International Securities Market Association (ISMA) convention for the basis argument:

• bondbybdt

• bondbybk

• bondbyhjm

• bondbyhw

• bondbyzero

• capbybdt

• capbybk

• capbyhjm

• capbyhw

• cfbybdt

• cfbybk

• cfbyhjm

• cfbyhw

• cfbyzero

• date2time

• disc2rate

• fixedbybdt

• fixedbybk

• fixedbyhjm

• fixedbyhw

• fixedbyzero

• floatbybdt

• floatbybk

• floatbyhjm

• floatbyhw

• floatbyzero

• floorbybdt

• floorbybk

• floorbyhjm

• floorbyhw

• instbond

• instcap

• instcf

• instfixed

• instfloat

• instfloor

• instswap

• intenvset

• optbndbybdt

• optbndbybk

• optbndbyhjm

• optbndbyhw

• rate2disc

• swapbybdt

• swapbybk

• swapbyhjm

• swapbyhw

• swapbyzero

• time2date

Version 5.1 (R2007b) Financial Derivatives Toolbox Software

Version 4.1 (R2006b) Financial Derivatives Toolbox Software

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