Note: This page has been translated by MathWorks. Please click here

To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

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 American option pricing using Cox-Ross-Rubinstein model |

`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 |

`bondDefaultBootstrap` | Bootstrap default probability curve from bond prices |

`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` | Create creditscorecard object to build credit scorecard model |

`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 |

`datetime` | Arrays that represent points in time |

`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 2070 |

`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 |

Was this topic helpful?