Learn more about Fixed-Income Toolbox

Function Reference

Alphabetical List

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Bond Futures Work with bond futures Certificates of Deposit Work with certificates of deposit Convertible Bonds Work with convertible bonds Derivative Securities Work with derivative securities Interest-Rate Curve Objects Work with interest-rate curve objects Mortgage-Backed Securities Work with mortgage-backed securities Option-Adjusted Spread Computations Work with option-adjusted spread computations Stepped-Coupon Bonds Work with stepped-coupon bonds Treasury Bills Work with Treasury bills Zero-Coupon Instruments Work with zero-coupon instruments

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Bond Futures

bndfutimprepo	Implied repo rates for bond future given price
bndfutprice	Price bond future given repo rates
convfactor	Bond conversion factors
tfutbyprice	Future prices of Treasury bonds given spot price
tfutbyyield	Future prices of Treasury bonds given current yield
tfutimprepo	Implied repo rates for Treasury bond future given price
tfutpricebyrepo	Implied repo rates given Treasury bond future price
tfutyieldbyrepo	Implied repo rates given Treasury bond future yield

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Certificates of Deposit

cdai	Accrued interest on certificate of deposit (CD)
cdprice	Price of certificate of deposit (CD)
cdyield	Yield on certificate of deposit (CD)

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Convertible Bonds

cbprice

Price convertible bond

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Derivative Securities

bkcall	Price European call option on bonds using Black's model
bkcaplet	Price interest-rate caplet using Black's model
bkfloorlet	Price interest-rate floorlet using Black's model
bkput	Price European put option on bonds using Black's model
liborduration	Duration of LIBOR-based interest-rate swap
liborfloat2fixed	Compute par fixed-rate of swap given 3-month LIBOR data
liborprice	Price swap given swap rate

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Interest-Rate Curve Objects

bootstrap	Bootstrap interest-rate curve from market data
fitFunction	Custom fit interest-rate curve object to bond market data
fitNelsonSiegel	Fit Nelson-Siegel function to bond market data
fitSmoothingSpline	Fit smoothing spline to bond market data
fitSvensson	Fit Svensson function to bond market data
getDiscountFactors	Get discount factors for input dates for IRDataCurve
getDiscountFactors	Get discount factors for input dates for IRFunctionCurve
getForwardRates	Get forward rates for input dates for IRDataCurve
getForwardRates	Get forward rates for input dates for IRFunctionCurve
getParYields	Get par yields for input dates for IRDataCurve
getParYields	Get par yields for input dates for IRFunctionCurve
getZeroRates	Get zero rates for input dates for IRDataCurve
getZeroRates	Get zero rates for input dates for IRFunctionCurve
IRBootstrapOptions	Construct specific options for bootstrapping interest-rate curve object
IRDataCurve	Construct interest-rate curve object from dates and data
IRFitOptions	Construct specific options for fitting interest-rate curve object
IRFunctionCurve	Construct interest-rate curve object from function handle or function by fitting to market data using object methods
toRateSpec	Convert IRDataCurve object to RateSpec
toRateSpec	Convert IRFunctionCurve object to RateSpec

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Mortgage-Backed Securities

mbscfamounts	Cash flow and time mapping for mortgage pool
mbsconvp	Convexity of mortgage pool given price
mbsconvy	Convexity of mortgage pool given yield
mbsdurp	Duration of mortgage pool given price
mbsdury	Duration of mortgage pool given yield
mbsnoprepay	End-of-month mortgage cash flows and balances without prepayment
mbspassthrough	Mortgage pool cash flows and balances with prepayment
mbsprice	Mortgage-backed security price given yield
mbsprice2speed	Implied PSA prepayment speeds given price
mbswal	Weighted average life of mortgage pool
mbsyield	Mortgage-backed security yield given price
mbsyield2speed	Implied PSA prepayment speeds given yield
psaspeed2default	Benchmark default
psaspeed2rate	Single monthly mortality rate given PSA speed

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Option-Adjusted Spread Computations

mbsoas2price	Price given option-adjusted spread
mbsoas2yield	Yield given option-adjusted spread
mbsprice2oas	Option-adjusted spread given price
mbsyield2oas	Option-adjusted spread given yield

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Stepped-Coupon Bonds

stepcpncfamounts	Cash flow amounts and times for bonds and stepped coupons
stepcpnprice	Price bond with stepped coupons
stepcpnyield	Yield to maturity of bond with stepped coupons

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Treasury Bills

tbilldisc2yield	Convert Treasury bill discount to equivalent yield
tbillprice	Price Treasury bill
tbillrepo	Break-even discount of repurchase agreement
tbillval01	Value of one basis point
tbillyield	Yield on Treasury bill
tbillyield2disc	Convert Treasury bill yield to equivalent discount

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Zero-Coupon Instruments

zeroprice	Price zero-coupon instruments given yield
zeroyield	Yield of zero-coupon instruments given price

Converting an IRDataCurve or IRFunctionCurve Object

Functions — Alphabetical List

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