Fixed-Income Toolbox - Documentation

Contents

Index

• Getting Started

• Mortgage-Backed Securities

What Are Mortgage-Backed Securities?

• Using Fixed-Rate Mortgage Pool Functions

Inputs to Functions

Generating Prepayment Vectors

Mortgage Prepayments

Risk Measurement

Mortgage Pool Valuation

Computing Option-Adjusted Spread

Prepayments with Fewer Than 360 Months Remaining

Pools with Different Numbers of Coupons Remaining

• Debt Instruments

Treasury Bills Defined

• Computing Treasury Bill Price and Yield

Treasury Bill Repurchase Agreements

Treasury Bill Yields

• Using Zero-Coupon Bonds

Measuring Zero-Coupon Bond Function Quality

Pricing Treasury Notes

Pricing Corporate Bonds

• Stepped-Coupon Bonds

Cash Flows from Stepped-Coupon Bonds

Price and Yield of Stepped-Coupon Bonds

• Term Structure Calculations

Computing Spot and Forward Curves

Computing Spreads

• Derivative Securities

• Pricing and Hedging

Swap Pricing Assumptions

Swap Pricing Example

Portfolio Hedging

Convertible Bond Valuation

• Bond Futures

Supported Bond Futures

Example Analysis of Bond Futures

Managing Interest-Rate Risk with Bond Futures

• Interest-Rate Curve Objects

• Introduction to Interest-Rate Curve Objects

Class Structure

Supported Workflow Model Using Interest-Rate Curve Objects

Creating Interest-Rate Curve Objects

• Creating an IRDataCurve Object

Using the IRDataCurve Constructor with Dates and Data

Using IRDataCurve bootstrap Method for Bootstrapping Based on Market Instruments

• Creating an IRFunctionCurve Object

Using a Function Handle to Fit an IRFunctionCurve Object

Using the Nelson-Siegel Method to Fit an IRFunctionCurve Object

Using the Svensson Method to Fit an IRFunctionCurve Object

Using the Smoothing Spline Method to Fit an IRFunctionCurve Object

Using the fitFunction to Create a Custom Fitting Function for an IRFunctionCurve Object

• Converting an IRDataCurve or IRFunctionCurve Object

Using the toRateSpec Method

Using Vector of Dates and Data Methods

• Class Reference

• @IRBootstrapOptions

Public Read-Only Properties

Public Read-Only Properties

• @IRDataCurve

Public Read-Only Properties

• @IRFitOptions

Public Read-Only Properties

• @IRFunctionCurve

Public Read-Only Properties

• Bibliography

Fitting Interest-Rate Curve Functions

Bootstrapping a Swap Curve

• Release Notes

Fixed-Income roadmap page

	Functions:
	By Category
	Alphabetical List



	Documentation Set

	Getting Started
	Introduces Fixed-Income Toolbox software and gets you started using it

	User's Guide
	Provides tutorials and comprehensive information about Fixed-Income Toolbox software

	Examples in Documentation
	Lists major examples in the Fixed-Income Toolbox documentation



	What's New

	Release Notes
	Summarizes new features, bug fixes, upgrade issues, etc.



	Printable (PDF) Documentation on the Web

PDF documents reflect the most recent version of Fixed-Income Toolbox software and might describe features not available in earlier versions of the software.
	Fixed-Income Toolbox User's Guide
	Fixed-Income Toolbox Release Notes

The MathWorks Web Site Resources

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	MATLAB Central
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