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Financial Toolbox Functions

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 for given period
candle Candlestick chart
candle (fts) Time series candle plot
cdai Accrued interest on certificate of deposit
cdprice Price of certificate of deposit
cdsbootstrap Bootstrap default probability curve from credit default swap market quotes
cdsprice Determine price for credit default swap
cdsrpv01 Compute risky present value of a basis point for credit default swap
cdsspread Determine spread of credit default swap
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
cpndatepq Previous quasi-coupon date for fixed-income security
cpndaysn Number of days to next coupon date
cpndaysp Number of days since previous coupon date
cpnpersz Number of days in coupon period
createholidays Create trading calendars
creditexposures Compute credit exposures from contract values
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 dates 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 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
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 portfolio risk according to risk proxy associated with corresponding object
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
exposureprofiles Compute exposure profiles from credit exposures
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 date 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
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 or datetime format
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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