Alphabetical List
By Category

abs2active | Convert constraints from absolute to active format |

accrfrac | Fraction of coupon period before settlement |

acrubond | Accrued interest of security with periodic interest payments |

acrudisc | Accrued interest of discount security paying at maturity |

active2abs | Convert constraints from active to absolute format |

addEquality | Add linear equality constraints for portfolio weights to existing constraints |

addGroupRatio | Add group ratio constraints for portfolio weights to existing group ratio constraints |

addGroups | Add group constraints for portfolio weights to existing group constraints |

addInequality | Add linear inequality constraints for portfolio weights to existing constraints |

adline | Accumulation/Distribution line |

adosc | Accumulation/Distribution oscillator |

amortize | Amortization schedule |

annurate | Periodic interest rate of annuity |

annuterm | Number of periods to obtain value |

arith2geom | Arithmetic to geometric moments of asset returns |

ascii2fts | Create financial time series object from ASCII file |

autobinning | Perform automatic binning of given predictors |

bar, barh | Bar chart |

bar3, bar3h | 3-D bar chart |

beytbill | Bond equivalent yield for Treasury bill |

bindata | Binned predictor variables |

bininfo | Return predictor's bin information |

binprice | Binomial put and call pricing |

blkimpv | Implied volatility for futures options from Black model |

blkprice | Black model for pricing futures options |

blsdelta | Black-Scholes sensitivity to underlying price change |

blsgamma | Black-Scholes sensitivity to underlying delta change |

blsimpv | Black-Scholes implied volatility |

blslambda | Black-Scholes elasticity |

blsprice | Black-Scholes put and call option pricing |

blsrho | Black-Scholes sensitivity to interest rate change |

blstheta | Black-Scholes sensitivity to time-until-maturity change |

blsvega | Black-Scholes sensitivity to underlying price volatility |

bm | Brownian motion models |

bm | Construct Brownian motion models |

bndconvp | Bond convexity given price |

bndconvy | Bond convexity given yield |

bnddurp | Bond duration given price |

bnddury | Bond duration given yield |

bndkrdur | Bond key rate duration given zero curve |

bndprice | Price fixed-income security from yield to maturity |

bndspread | Static spread over spot curve |

bndtotalreturn | Total return of fixed-coupon bond |

bndyield | Yield to maturity for fixed-income security |

bolling | Bollinger band chart |

bollinger | Time series Bollinger band |

boxcox | Box-Cox transformation |

busdate | Next or previous business day |

busdays | Business days in serial date format |

candle | Candlestick chart |

candle (fts) | Time series candle plot |

cdai | Accrued interest on certificate of deposit |

cdprice | Price of certificate of deposit |

cdyield | Yield on certificate of deposit (CD) |

cev | Constant Elasticity of Variance (CEV) models |

cev | Construct Constant Elasticity of Variance (CEV) models |

cfamounts | Cash flow and time mapping for bond portfolio |

cfbyzero | Price cash flows from set of zero curves |

cfconv | Cash flow convexity |

cfdates | Cash flow dates for fixed-income security |

cfdatesq | Quasi-coupon dates for fixed-income security |

cfdur | Cash-flow duration and modified duration |

cfplot | Visualize cash flows of financial instruments |

cfport | Portfolio form of cash flow amounts |

cfprice | Compute price for cash flow given yield to maturity |

cfspread | Compute spread over yield curve for cash flow |

cftimes | Time factors corresponding to bond cash flow dates |

cfyield | Compute yield to maturity for cash flow given price |

chaikosc | Chaikin oscillator |

chaikvolat | Chaikin volatility |

chartfts | Interactive display |

checkFeasibility | Check feasibility of input portfolios against portfolio object |

chfield | Change data series name |

cir | Cox-Ingersoll-Ross mean-reverting square root diffusion models |

cir | Construct Cox-Ingersoll-Ross mean-reverting square root diffusion models |

convert2sur | Convert multivariate normal regression model to seemingly unrelated regression (SUR) model |

convertto | Convert to specified frequency |

corr2cov | Convert standard deviation and correlation to covariance |

corrcoef | Correlation coefficients |

cov | Covariance matrix |

cov2corr | Convert covariance to standard deviation and correlation coefficient |

cpncount | Coupon payments remaining until maturity |

cpndaten | Next coupon date for fixed-income security |

cpndatenq | Next quasi-coupon date for fixed-income security |

cpndatep | Previous coupon date for fixed-income security |

cpndaysp | Number of days since previous coupon date |

cpnpersz | Number of days in coupon period |

createholidays | Create trading calendars |

creditscorecard | Build credit scorecard model |

creditscorecard | Create creditscorecard object |

cumsum | Cumulative sum |

cur2frac | Decimal currency values to fractional values |

cur2str | Bank-formatted text |

date2time | Time and frequency from dates |

dateaxis | Convert serial-date axis labels to calendar-date axis labels |

datedisp | Display date entries |

datefind | Indices of date numbers in matrix |

datemnth | Date of day in future or past month |

datenum | Convert date and time to serial date number |

datestr | Convert date and time to string format |

datevec | Convert date and time to vector of components |

datewrkdy | Date of future or past workday |

day | Day of month |

days360 | Days between dates based on 360-day year |

days360e | Days between dates based on 360-day year (European) |

days360isda | Days between dates based on 360-day year (International Swap Dealer Association (ISDA) compliant) |

days360psa | Days between dates based on 360-day year (Public Securities Association (PSA) compliant) |

days365 | Days between dates based on 365-day year |

daysact | Actual number of days between dates |

daysadd | Date away from starting date for any day-count basis |

daysdif | Days between dates for any day-count basis |

dec2thirtytwo | Decimal to thirty-second quotation |

depfixdb | Fixed declining-balance depreciation schedule |

depgendb | General declining-balance depreciation schedule |

deprdv | Remaining depreciable value |

depsoyd | Sum of years' digits depreciation |

depstln | Straight-line depreciation schedule |

diff | Differencing |

diffusion | Diffusion-rate model component |

diffusion | Construct diffusion-rate model components |

disc2zero | Zero curve given discount curve |

discrate | Bank discount rate of money market security |

displaypoints | Return points per predictor per bin |

drift | Drift-rate model component |

drift | Construct drift-rate model components |

ecmlsrmle | Least-squares regression with missing data |

ecmmvnrfish | Fisher information matrix for multivariate normal regression model |

ecmmvnrmle | Multivariate normal regression with missing data |

ecmmvnrobj | Log-likelihood function for multivariate normal regression with missing data |

ecmmvnrstd | Evaluate standard errors for multivariate normal regression model |

ecmnfish | Fisher information matrix |

ecmnhess | Hessian of negative log-likelihood function |

ecmninit | Initial mean and covariance |

ecmnmle | Mean and covariance of incomplete multivariate normal data |

ecmnobj | Multivariate normal negative log-likelihood function |

ecmnstd | Standard errors for mean and covariance of incomplete data |

effrr | Effective rate of return |

elpm | Compute expected lower partial moments for normal asset returns |

emaxdrawdown | Compute expected maximum drawdown for Brownian motion |

end | Last date entry |

eomdate | Last date of month |

eq (fts) | Multiple financial times series object equality |

estimateAssetMoments | Estimate mean and covariance of asset returns from data |

estimateBounds | Estimate global lower and upper bounds for set of portfolios |

estimateFrontier | Estimate specified number of optimal portfolios on the efficient frontier |

estimateFrontierByReturn | Estimate optimal portfolios with targeted portfolio returns |

estimateFrontierByRisk | Estimate optimal portfolios with targeted portfolio risks |

estimateFrontierLimits | Estimate optimal portfolios at endpoints of efficient frontier |

estimateMaxSharpeRatio | Estimate efficient portfolio to maximize Sharpe ratio for Portfolio object |

estimatePortMoments | Estimate moments of portfolio returns for Portfolio object |

estimatePortReturn | Estimate mean of portfolio returns |

estimatePortRisk | Estimate standard deviation of portfolio returns (portfolio risk) |

estimatePortStd | Estimate standard deviation of portfolio returns |

estimatePortVaR | Estimate value-at-risk for PortfolioCVaR object |

estimateScenarioMoments | Estimate mean and covariance of asset return scenarios |

ewstats | Expected return and covariance from return time series |

exp | Exponential values |

extfield | Data series extraction |

fanplot | Plot combined historical and forecast data to visualize possible outcomes |

fbusdate | First business date of month |

fetch | Data from financial time series object |

fieldnames | Get names of fields |

fillts | Fill missing values in time series |

filter | Linear filtering |

fints | Construct financial time series object |

fitmodel | Fit logistic regression model to Weight of Evidence (WOE) data |

floatdiscmargin | Discount margin for floating-rate bond |

floatmargin | Margin measures for floating-rate bond |

formatpoints | Format scorecard points and scaling |

fpctkd | Fast stochastics |

frac2cur | Fractional currency value to decimal value |

freqnum | Convert character vector frequency indicator to numeric frequency indicator |

freqstr | Convert numeric frequency indicator to character vector representation |

frontier | Rolling efficient frontier |

fts2ascii | Write elements of time series data into ASCII file |

fts2mat | Convert to matrix |

ftsbound | Start and end dates |

ftsgui | Financial time series GUI |

ftsinfo | Financial time series object information |

ftstool | Financial Time Series app |

ftsuniq | Determine uniqueness |

fvdisc | Future value of discounted security |

fvfix | Future value with fixed periodic payments |

fvvar | Future value of varying cash flow |

fwd2zero | Zero curve given forward curve |

gbm | Geometric Brownian motion model |

gbm | Construct GBM model |

geom2arith | Geometric to arithmetic moments of asset returns |

getAssetMoments | Obtain mean and covariance of asset returns from Portfolio object |

getBounds | Obtain bounds for portfolio weights from portfolio object |

getBudget | Obtain budget constraint bounds from portfolio object |

getCosts | Obtain buy and sell transaction costs from portfolio object |

getEquality | Obtain equality constraint arrays from portfolio object |

getfield | Content of specific field |

getGroupRatio | Obtain group ratio constraint arrays from portfolio object |

getGroups | Obtain group constraint arrays from portfolio object |

getInequality | Obtain inequality constraint arrays from portfolio object |

getnameidx | Find name in list |

getOneWayTurnover | Obtain one-way turnover constraints from portfolio object |

getScenarios | Obtain scenarios from portfolio object |

heston | Heston model |

heston | Construct Heston model |

hhigh | Highest high |

highlow | High, low, open, close chart |

highlow (fts) | Time series High-Low plot |

hist | Histogram |

holdings2weights | Portfolio holdings into weights |

holidays | Holidays and nontrading days |

horzcat | Concatenate financial time series objects horizontally |

hour | Hour of date or time |

hwv | Hull-White/Vasicek Gaussian Diffusion model |

hwv | Construct HWV model |

inforatio | Calculate information ratio for one or more assets |

interpolate | Brownian interpolation of stochastic differential equations |

irr | Internal rate of return |

isbusday | True for dates that are business days |

iscompatible | Structural equality |

isempty | True for empty financial time series objects |

isequal | Multiple object equality |

isfield | Check whether character vector is field name |

issorted | Check whether dates and times are monotonically increasing |

kagi | Kagi chart |

lagts | Lag time series object |

lbusdate | Last business date of month |

leadts | Lead time series object |

length | Get number of dates (rows) |

lifetableconv | Convert life table series into life tables with forced termination |

lifetablefit | Calibrate life table from survival data with parametric models |

lifetablegen | Generate life table series from calibrated mortality model |

linebreak | Line break chart |

llow | Lowest low |

log | Natural logarithm |

log10 | Common logarithm |

log2 | Base 2 logarithm |

lpm | Compute sample lower partial moments of data |

lweekdate | Date of last occurrence of weekday in month |

m2xdate | MATLAB serial date number to Excel serial date number |

macd | Moving Average Convergence/Divergence (MACD) |

max | Maximum value |

maxdrawdown | Compute maximum drawdown for one or more price series |

mean | Arithmetic average |

medprice | Median price |

merge | Merge multiple financial time series objects |

min | Minimum value |

minus | Financial time series subtraction |

minute | Minute of date or time |

mirr | Modified internal rate of return |

modifybins | Modify predictor's bins |

modifypredictor | Set properties of credit scorecard predictors |

month | Month of date |

months | Number of whole months between dates |

movavg | Leading and lagging moving averages chart |

mrdivide | Financial time series matrix division |

mtimes | Financial time series matrix multiplication |

mvnrfish | Fisher information matrix for multivariate normal or least-squares regression |

mvnrmle | Multivariate normal regression (ignore missing data) |

mvnrobj | Log-likelihood function for multivariate normal regression without missing data |

mvnrstd | Evaluate standard errors for multivariate normal regression model |

nancov | Covariance ignoring NaNs |

nanmax | Maximum ignoring NaNs |

nanmean | Mean ignoring NaNs |

nanmedian | Median ignoring NaNs |

nanmin | Minimum ignoring NaNs |

nanstd | Standard deviation ignoring NaNs |

nansum | Sum ignoring NaNs |

nanvar | Variance ignoring NaNs |

negvolidx | Negative volume index |

nomrr | Nominal rate of return |

now | Current date and time as serial date number |

nweekdate | Date of specific occurrence of weekday in month |

nyseclosures | New York Stock Exchange closures from 1885 to 2050 |

onbalvol | On-Balance Volume (OBV) |

opprofit | Option profit |

payadv | Periodic payment given number of advance payments |

payodd | Payment of loan or annuity with odd first period |

payper | Periodic payment of loan or annuity |

payuni | Uniform payment equal to varying cash flow |

pcalims | Linear inequalities for individual asset allocation |

pcgcomp | Linear inequalities for asset group comparison constraints |

pcglims | Linear inequalities for asset group minimum and maximum allocation |

pcpval | Linear inequalities for fixing total portfolio value |

peravg | Periodic average of FINTS object |

periodicreturns | Periodic total returns from total return prices |

plot | Plot data series |

plotbins | Plot histogram counts for predictor variables |

plotFrontier | Plot efficient frontier |

plus | Financial time series addition |

pointfig | Point and figure chart |

portalloc | Optimal capital allocation to efficient frontier portfolios |

portalpha | Compute risk-adjusted alphas and returns for one or more assets |

portcons | Portfolio constraints |

Portfolio | Portfolio object for mean-variance portfolio optimization and analysis |

Portfolio | Create Portfolio object for mean-variance portfolio optimization |

PortfolioCVaR | PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |

PortfolioCVaR | Create PortfolioCVaR object for conditional value-at-risk portfolio optimization |

PortfolioMAD | PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis |

PortfolioMAD | Create PortfolioMAD object for mean-absolute deviation portfolio optimization |

portopt | Portfolios on constrained efficient frontier |

portrand | Randomized portfolio risks, returns, and weights |

portror | Portfolio expected rate of return |

portsim | Monte Carlo simulation of correlated asset returns |

portstats | Portfolio expected return and risk |

portvar | Variance for portfolio of assets |

portvrisk | Portfolio value at risk (VaR) |

posvolidx | Positive volume index |

power | Financial time series power |

prbyzero | Price bonds in portfolio by set of zero curves |

prcroc | Price rate of change |

prdisc | Price of discounted security |

predictorinfo | Summary of credit scorecard predictor properties |

priceandvol | Price and volume chart |

prmat | Price with interest at maturity |

probdefault | Likelihood of default for given data set |

prtbill | Price of Treasury bill |

pvfix | Present value with fixed periodic payments |

pvtrend | Price and Volume Trend (PVT) |

pvvar | Present value of varying cash flow |

pyld2zero | Zero curve given par yield curve |

quarter | Returns the quarter of given date |

rdivide | Financial time series division |

renko | Renko chart |

resamplets | Downsample data |

ret2tick | Convert return series to price series |

ret2tick (fts) | Convert return series to price series for time series object |

rmfield | Remove data series |

rsindex | Relative Strength Index (RSI) |

score | Compute credit scores for given data |

sde | Stochastic Differential Equation (SDE) model |

sde | Construct SDE model from user-specified functions |

sdeddo | Stochastic Differential Equation (SDE) model from Drift and Diffusion components |

sdeddo | Construct sdeddo model from Drift and Diffusion objects |

sdeld | SDE with Linear Drift model |

sdeld | Construct stochastic differential equation from linear drift-rate models |

sdemrd | SDE with Mean-Reverting Drift model |

sdemrd | Construct stochastic differential equation from mean-reverting drift-rate models |

second | Seconds of date or time |

selectreturn | Portfolio configurations from 3-D efficient frontier |

setAssetList | Set up list of identifiers for assets |

setAssetMoments | Set moments (mean and covariance) of asset returns for Portfolio object |

setBounds | Set up bounds for portfolio weights |

setBudget | Set up budget constraints |

setCosts | Set up proportional transaction costs |

setDefaultConstraints | Set up portfolio constraints with nonnegative weights that sum to 1 |

setEquality | Set up linear equality constraints for portfolio weights |

setfield | Set content of specific field |

setGroupRatio | Set up group ratio constraints for portfolio weights |

setGroups | Set up group constraints for portfolio weights |

setInequality | Set up linear inequality constraints for portfolio weights |

setInitPort | Set up initial or current portfolio |

setmodel | Set model predictors and coefficients |

setOneWayTurnover | Set up one-way portfolio turnover constraints |

setProbabilityLevel | Set probability level for VaR and CVaR calculations |

setScenarios | Set asset returns scenarios by direct matrix |

setSolver | Choose main solver and specify associated solver options for portfolio optimization |

setTrackingError | Set up maximum portfolio tracking error constraint |

setTrackingPort | Set up benchmark portfolio for tracking error constraint |

setTurnover | Set up maximum portfolio turnover constraint |

sharpe | Compute Sharpe ratio for one or more assets |

simByEuler | Euler simulation of stochastic differential equations (SDEs) |

simBySolution | Simulate approximate solution of diagonal-drift GBM processes |

simBySolution | Simulate approximate solution of diagonal-drift HWV processes |

simulate | Simulate multivariate stochastic differential equations (SDEs) |

simulateNormalScenariosByData | Simulate multivariate normal asset return scenarios from data |

simulateNormalScenariosByMoments | Simulate multivariate normal asset return scenarios from mean and covariance of asset returns |

size | Number of dates and data series |

smoothts | Smooth data |

sortfts | Sort financial time series |

spctkd | Slow stochastics |

std | Standard deviation |

stochosc | Stochastic oscillator |

subsasgn | Content assignment |

subsref | Subscripted reference |

targetreturn | Portfolio weight accuracy |

taxedrr | After-tax rate of return |

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 |

tbl2bond | Treasury bond parameters given Treasury bill parameters |

thirdwednesday | Find third Wednesday of month |

thirtytwo2dec | Thirty-second quotation to decimal |

tick2ret | Convert price series to return series |

tick2ret (fts) | Convert price series to return series for time series object |

time2date | Dates from time and frequency |

times | Financial time series multiplication |

tmfactor | Time factors of arbitrary dates |

toannual | Convert to annual |

todaily | Convert to daily |

today | Current date |

todecimal | Fractional to decimal conversion |

tomonthly | Convert to monthly |

toquarterly | Convert to quarterly |

toquoted | Decimal to fractional conversion |

tosemi | Convert to semiannual |

totalreturnprice | Total return price time series |

toweekly | Convert to weekly |

tr2bonds | Term-structure parameters given Treasury bond parameters |

transprob | Estimate transition probabilities from credit ratings data |

transprobbytotals | Estimate transition probabilities using totals structure input |

transprobfromthresholds | Convert from credit quality thresholds to transition probabilities |

transprobgrouptotals | Aggregate credit ratings information into fewer rating categories |

transprobprep | Preprocess credit ratings data to estimate transition probabilities |

transprobtothresholds | Convert from transition probabilities to credit quality thresholds |

ts2func | Convert time series arrays to functions of time and state |

tsaccel | Acceleration between times |

tsmom | Momentum between times |

tsmovavg | Moving average |

typprice | Typical price |

ugarch | (To be removed) Univariate GARCH(P,Q) parameter estimation with Gaussian innovations |

ugarchllf | (To be removed) Log-likelihood objective function of univariate GARCH(P,Q) processes with Gaussian innovations |

ugarchpred | (To be removed) Forecast conditional variance of univariate GARCH(P,Q) processes |

ugarchsim | (To be removed) Simulate univariate GARCH(P,Q) process with Gaussian innovations |

uicalendar | Graphical calendar |

uminus | Unary minus of financial time series object |

uplus | Unary plus of financial time series object |

validatemodel | Validate quality of credit scorecard model |

var | Variance |

vertcat | Concatenate financial time series objects vertically |

volarea | Price and volume chart |

volroc | Volume rate of change |

wclose | Weighted close |

weeknum | Week in year |

weights2holdings | Portfolio values and weights into holdings |

willad | Williams Accumulation/Distribution line |

willpctr | Williams %R |

wrkdydif | Number of working days between dates |

x2mdate | Excel serial date number to MATLAB serial date number |

xirr | Internal rate of return for nonperiodic cash flow |

year | Year of date |

yeardays | Number of days in year |

yearfrac | Fraction of year between dates |

ylddisc | Yield of discounted security |

yldmat | Yield with interest at maturity |

yldtbill | Yield of Treasury bill |

zbtprice | Zero curve bootstrapping from coupon bond data given price |

zbtyield | Zero curve bootstrapping from coupon bond data given yield |

zero2disc | Discount curve given zero curve |

zero2fwd | Forward curve given zero curve |

zero2pyld | Par yield curve given zero curve |

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