Version 5.4 (R2009a) Financial Derivatives Toolbox Software :: Financial Derivatives Toolbox Release Notes (Financial Derivatives Toolbox™)

Version 5.4 (R2009a) Financial Derivatives Toolbox Software

This table summarizes what's new in Version 5.4 (R2009a):

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

New features and changes introduced in this version are:

Supports the following:

Function	Purpose
`cashbybls`	Calculate price of cash-or-nothing digital options using the Black-Scholes model.
`assetbybls`	Calculate price of asset-or-nothing digital options using the Black-Scholes model.
`gapbybls`	Calculate price of gap digital options using the Black-Scholes model.
`supersharebybls`	Calculate price of supershare digital options using the Black-Scholes model.
`cashsensbybls`	Calculate price and sensitivities of cash-or-nothing digital options using the Black-Scholes model.
`assetsensbybls`	Calculate price and sensitivities of asset-or-nothing digital options using the Black-Scholes model.
`gapsensbybls`	Calculate price and sensitivities of gap digital options using the Black-Scholes model.
`supersharesensbybls`	Calculate price and sensitivities of supershare digital options using the Black-Scholes model.

For more information, see Digital Option.

Supports the following:

Function	Purpose
`minassetbystulz`	Calculate European rainbow option price on minimum of two risky assets using the Stulz option pricing model.
`minassetsensbystulz`	Calculate European rainbow option prices and sensitivities on minimum of two risky assets using the Stulz pricing model.
`maxassetbystulz`	Calculate European rainbow option price on maximum of two risky assets using the Stulz option pricing model.
`maxassetsensbystulz`	Calculate European rainbow option prices and sensitivities on maximum of two risky assets using the Stulz pricing model.

For more information, see Rainbow Option.

Supports the following:

Function	Purpose
`capbyblk`	Price caps using the Black option pricing model.
`floorbyblk`	Price floors using the Black option pricing model.

Supports the following:

Function	Purpose
`hwcalbycap`	Calibrate Hull-White tree using caps.
`hwcalbyfloor`	Calibrate Hull-White tree using floors.

Version 5.5 (R2009b) Financial Derivatives Toolbox Software

Version 5.3 (R2008b) Financial Derivatives Toolbox Software

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