Documentation

Financial Toolbox Functions

Data Preprocessing

Date and Time Component Formats

now Current date and time as serial date number
today Current date
datefind Indices of date numbers in matrix
datevec Convert date and time to vector of components
day Day of month
eomdate Last date of month
hour Hour of date or time
lweekdate Date of last occurrence of weekday in month
second Seconds of date or time
minute Minute of date or time
month Month of date
months Number of whole months between dates
nweekdate Date of specific occurrence of weekday in month
weeknum Week in year
year Year of date
yeardays Number of days in year

Date Conversion

date2time Time and frequency from dates
datedisp Display date entries
datenum Convert date and time to serial date number
datestr Convert date and time to string format
m2xdate MATLAB serial date number to Excel serial date number
time2date Dates from time and frequency
uicalendar Graphical calendar
x2mdate Excel serial date number to MATLAB serial date number

Business Calendar Formats

busdate Next or previous business day
busdays Business days in serial date format
datemnth Date of day in future or past month
datewrkdy Date of future or past workday
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
fbusdate First business date of month
isbusday True for dates that are business days
lbusdate Last business date of month
thirdwednesday Find third Wednesday of month
wrkdydif Number of working days between dates
yearfrac Fraction of year between dates
createholidays Create trading calendars
holidays Holidays and nontrading days
nyseclosures New York Stock Exchange closures from 1885 to 2050

Coupon Bond Dates

accrfrac Fraction of coupon period before settlement
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

Currency and Price Conversion

cur2frac Decimal currency values to fractional values
cur2str Bank-formatted text
dec2thirtytwo Decimal to thirty-second quotation
frac2cur Fractional currency value to decimal value
thirtytwo2dec Thirty-second quotation to decimal

Financial Time Series

Create Time Series

fints Construct financial time series object
ascii2fts Create financial time series object from ASCII file
fts2ascii Write elements of time series data into ASCII file
fts2mat Convert to matrix

Transform Time Series

boxcox Box-Cox transformation
convert2sur Convert multivariate normal regression model to seemingly unrelated regression (SUR) model
convertto Convert to specified frequency
diff Differencing
fillts Fill missing values in time series
filter Linear filtering
lagts Lag time series object
leadts Lead time series object
peravg Periodic average of FINTS object
resamplets Downsample data
smoothts Smooth data
tsmovavg Moving average
toannual Convert to annual
todaily Convert to daily
todecimal Fractional to decimal conversion
tomonthly Convert to monthly
toquarterly Convert to quarterly
toquoted Decimal to fractional conversion
tosemi Convert to semiannual
toweekly Convert to weekly

Merge Time Series

merge Merge multiple financial time series objects
horzcat Concatenate financial time series objects horizontally
vertcat Concatenate financial time series objects vertically

Analyze Time Series

Descriptive Statistics

corrcoef Correlation coefficients
cov Covariance matrix
isempty True for empty financial time series objects
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
var Variance

Arithmetic and Math Operations

end Last date entry
horzcat Concatenate financial time series objects horizontally
length Get number of dates (rows)
minus Financial time series subtraction
mrdivide Financial time series matrix division
mtimes Financial time series matrix multiplication
plus Financial time series addition
power Financial time series power
rdivide Financial time series division
size Number of dates and data series
subsasgn Content assignment
subsref Subscripted reference
times Financial time series multiplication
uminus Unary minus of financial time series object
uplus Unary plus of financial time series object
vertcat Concatenate financial time series objects vertically
cumsum Cumulative sum
exp Exponential values
hist Histogram
log Natural logarithm
log10 Common logarithm
log2 Base 2 logarithm
max Maximum value
mean Arithmetic average
min Minimum value
std Standard deviation

Data Extraction

ftstool Financial Time Series app
ftsgui Financial time series GUI
chfield Change data series name
eq (fts) Multiple financial times series object equality
extfield Data series extraction
fetch Data from financial time series object
fieldnames Get names of fields
freqnum Convert string frequency indicator to numeric frequency indicator
freqstr Convert numeric frequency indicator to string representation
ftsbound Start and end dates
ftsinfo Financial time series object information
ftsuniq Determine uniqueness
getfield Content of specific field
getnameidx Find name in list
iscompatible Structural equality
isequal Multiple object equality
isfield Check whether string is field name
issorted Check whether dates and times are monotonically increasing
rmfield Remove data series
setfield Set content of specific field
sortfts Sort financial time series

Chart Technical Indicators

adosc Accumulation/Distribution oscillator
chaikosc Chaikin oscillator
macd Moving Average Convergence/Divergence (MACD)
stochosc Stochastic oscillator
tsaccel Acceleration between times
tsmom Momentum between times
chaikvolat Chaikin volatility
fpctkd Fast stochastics
spctkd Slow stochastics
willpctr Williams %R
negvolidx Negative volume index
posvolidx Positive volume index
rsindex Relative Strength Index (RSI)
adline Accumulation/Distribution line
bollinger Time series Bollinger band
hhigh Highest high
llow Lowest low
medprice Median price
onbalvol On-Balance Volume (OBV)
prcroc Price rate of change
pvtrend Price and Volume Trend (PVT)
typprice Typical price
volroc Volume rate of change
wclose Weighted close
willad Williams Accumulation/Distribution line
chartfts Interactive display
candle (fts) Time series candle plot
highlow (fts) Time series High-Low plot
ret2tick (fts) Convert return series to price series for time series object
tick2ret (fts) Convert price series to return series for time series object

Financial Data Analytics

Cash Flows

Annuities

annurate Periodic interest rate of annuity
annuterm Number of periods to obtain value
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

Amortization and Depreciation

amortize Amortization schedule
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

Present and Future Value

pvfix Present value with fixed periodic payments
pvvar Present value of varying cash flow
fvdisc Future value of discounted security
fvfix Future value with fixed periodic payments
fvvar Future value of varying cash flow

Rates of Return

effrr Effective rate of return
elpm Compute expected lower partial moments for normal asset returns
irr Internal rate of return
mirr Modified internal rate of return
nomrr Nominal rate of return
taxedrr After-tax rate of return
xirr Internal rate of return for nonperiodic cash flow

Cash Flow Generation and Sensitivities

cfconv Cash flow convexity
cfdur Cash-flow duration and modified duration
cfamounts Cash flow and time mapping for bond portfolio
cfport Portfolio form of cash flow amounts
cftimes Time factors corresponding to bond cash flow dates
cfdates Cash flow dates for fixed-income security
cfprice Compute price for cash flow given yield to maturity
cfplot Visualize cash flows of financial instruments
cfspread Compute spread over yield curve for cash flow
cfyield Compute yield to maturity for cash flow given price
cfbyzero Price cash flows from set of zero curves

Investment Performance Metrics

elpm Compute expected lower partial moments for normal asset returns
emaxdrawdown Compute expected maximum drawdown for Brownian motion
inforatio Calculate information ratio for one or more assets
lpm Compute sample lower partial moments of data
maxdrawdown Compute maximum drawdown for one or more price series
portalpha Compute risk-adjusted alphas and returns for one or more assets
sharpe Compute Sharpe ratio for one or more assets

Multivariate Normal Regression

ecmnfish Fisher information matrix
ecmmvnrfish Fisher information matrix for multivariate normal regression model
ecmnhess Hessian of negative log-likelihood function
ecmninit Initial mean and covariance
ecmnobj Multivariate normal negative log-likelihood function
ecmnmle Mean and covariance of incomplete multivariate normal data
ecmnstd Standard errors for mean and covariance of incomplete data
ecmmvnrstd Evaluate standard errors for multivariate normal regression model
ecmmvnrmle Multivariate normal regression with missing data
ecmlsrmle Least-squares regression with missing data
ecmmvnrobj Log-likelihood function for multivariate normal regression with missing data
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
convert2sur Convert multivariate normal regression model to seemingly unrelated regression (SUR) model

Data Transformation

abs2active Convert constraints from absolute to active format
active2abs Convert constraints from active to absolute format
arith2geom Arithmetic to geometric moments of asset returns
corr2cov Convert standard deviation and correlation to covariance
cov2corr Convert covariance to standard deviation and correlation coefficient
geom2arith Geometric to arithmetic moments of asset returns
holdings2weights Portfolio holdings into weights
ret2tick Convert return series to price series
tick2ret Convert price series to return series
weights2holdings Portfolio values and weights into holdings

Life Tables

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

Chart Financial Data

bar, barh Bar chart
bar3, bar3h 3-D bar chart
bolling Bollinger band chart
candle Candlestick chart
cfplot Visualize cash flows of financial instruments
dateaxis Convert serial-date axis labels to calendar-date axis labels
fanplot Plot combined historical and forecast data to visualize possible outcomes
highlow High, low, open, close chart
kagi Kagi chart
linebreak Line break chart
movavg Leading and lagging moving averages chart
plot Plot data series
pointfig Point and figure chart
priceandvol Price and volume chart
renko Renko chart
volarea Price and volume chart

Portfolio Optimization and Asset Allocation

Portfolio Optimization Theory

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Mean-Variance Portfolio Optimization

Create Portfolio

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
Portfolio Create Portfolio object for mean-variance portfolio optimization
setAssetList Set up list of identifiers for assets
setInitPort Set up initial or current portfolio
setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1

Estimate Mean and Covariance for Returns

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
getAssetMoments Obtain mean and covariance of asset returns from Portfolio object
setAssetMoments Set moments (mean and covariance) of asset returns for Portfolio object
estimateAssetMoments Estimate mean and covariance of asset returns from data
setCosts Set up proportional transaction costs

Specify Portfolio Constraints

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
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
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
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
getOneWayTurnover Obtain one-way turnover constraints from portfolio object
setGroups Set up group constraints for portfolio weights
setInequality Set up linear inequality constraints for portfolio weights
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
setGroupRatio Set up group ratio constraints for portfolio weights
setInitPort Set up initial or current portfolio
setOneWayTurnover Set up one-way portfolio turnover constraints
setTurnover Set up maximum portfolio turnover constraint

Validate Portfolio

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
checkFeasibility Check feasibility of input portfolios against portfolio object
estimateBounds Estimate global lower and upper bounds for set of portfolios

Estimate Efficient Portfolios and Frontiers

Portfolio Portfolio object for mean-variance portfolio optimization and analysis
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
plotFrontier Plot 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)
setSolver Choose main solver and specify associated solver options for portfolio optimization

Conditional Value-at-Risk Portfolio Optimization

Create Portfolio

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioCVaR Create PortfolioCVaR object for conditional value-at-risk portfolio optimization
setAssetList Set up list of identifiers for assets
setInitPort Set up initial or current portfolio
setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1
setProbabilityLevel Set probability level for VaR and CVaR calculations

Asset Returns and Scenarios

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
getScenarios Obtain scenarios from portfolio object
setScenarios Set asset returns scenarios by direct matrix
estimateScenarioMoments Estimate mean and covariance of asset return scenarios
simulateNormalScenariosByMoments Simulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByData Simulate multivariate normal asset return scenarios from data
setCosts Set up proportional transaction costs

Specify Portfolio Constraints

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
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
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
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
getOneWayTurnover Obtain one-way turnover constraints from portfolio object
setGroups Set up group constraints for portfolio weights
setInequality Set up linear inequality constraints for portfolio weights
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
setGroupRatio Set up group ratio constraints for portfolio weights
setInitPort Set up initial or current portfolio
setOneWayTurnover Set up one-way portfolio turnover constraints
setTurnover Set up maximum portfolio turnover constraint

Validate Portfolio

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
checkFeasibility Check feasibility of input portfolios against portfolio object
estimateBounds Estimate global lower and upper bounds for set of portfolios

Estimate Efficient Portfolios and Frontiers

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
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
plotFrontier Plot efficient frontier
estimatePortVaR Estimate value-at-risk for PortfolioCVaR object
estimatePortStd Estimate standard deviation of portfolio returns
estimatePortReturn Estimate mean of portfolio returns
estimatePortRisk Estimate standard deviation of portfolio returns (portfolio risk)
setSolver Choose main solver and specify associated solver options for portfolio optimization

Mean-Absolute Deviation Portfolio Optimization

Create Portfolio

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
PortfolioMAD Create PortfolioMAD object for mean-absolute deviation portfolio optimization
setAssetList Set up list of identifiers for assets
setInitPort Set up initial or current portfolio
setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1

Asset Returns and Scenarios

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
getScenarios Obtain scenarios from portfolio object
setScenarios Set asset returns scenarios by direct matrix
estimateScenarioMoments Estimate mean and covariance of asset return scenarios
simulateNormalScenariosByMoments Simulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByData Simulate multivariate normal asset return scenarios from data
setCosts Set up proportional transaction costs

Specify Portfolio Constraints

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
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
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
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
getOneWayTurnover Obtain one-way turnover constraints from portfolio object
setGroups Set up group constraints for portfolio weights
setInequality Set up linear inequality constraints for portfolio weights
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
setGroupRatio Set up group ratio constraints for portfolio weights
setInitPort Set up initial or current portfolio
setOneWayTurnover Set up one-way portfolio turnover constraints
setTurnover Set up maximum portfolio turnover constraint

Validate Portfolio

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
checkFeasibility Check feasibility of input portfolios against portfolio object
estimateBounds Estimate global lower and upper bounds for set of portfolios

Estimate Efficient Portfolios and Frontiers

PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
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
plotFrontier Plot efficient frontier
estimatePortStd Estimate standard deviation of portfolio returns
estimatePortReturn Estimate mean of portfolio returns
estimatePortRisk Estimate standard deviation of portfolio returns (portfolio risk)
setSolver Choose main solver and specify associated solver options for portfolio optimization

Portfolio Analysis

ewstats Expected return and covariance from return time series
frontier Rolling efficient frontier
portalloc Optimal capital allocation to efficient frontier portfolios
portror Portfolio expected rate of return
selectreturn Portfolio configurations from 3-D efficient frontier
targetreturn Portfolio weight accuracy
portrand Randomized portfolio risks, returns, and weights
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)
periodicreturns Periodic total returns from total return prices
totalreturnprice Total return price time series

Credit Risk

Estimate Transition Probabilities

transprob Estimate transition probabilities from credit ratings data
transprobbytotals Estimate transition probabilities using totals structure input
transprobgrouptotals Aggregate credit ratings information into fewer rating categories
transprobprep Preprocess credit ratings data to estimate transition probabilities

Determine Credit Quality Thresholds

transprobfromthresholds Convert from credit quality thresholds to transition probabilities
transprobtothresholds Convert from transition probabilities to credit quality thresholds

Create Credit Scorecards

creditscorecard Build credit scorecard model
creditscorecard Create creditscorecard object
autobinning Perform automatic binning of given predictors
bininfo Return predictor's bin information
modifybins Modify predictor's bins
bindata Binned predictor variables
plotbins Plot histogram counts for predictor variables
fitmodel Fit logistic regression model to Weight of Evidence (WOE) data
setmodel Set model predictors and coefficients
displaypoints Return points per predictor per bin
formatpoints Format scorecard points and scaling
score Compute credit scores for given data
probdefault Likelihood of default for given data set
validatemodel Validate quality of credit scorecard model

Price and Analyze Financial Instruments

Analyze Yield Curves

disc2zero Zero curve given discount curve
fwd2zero Zero curve given forward curve
prbyzero Price bonds in portfolio by set of zero curves
pyld2zero Zero curve given par yield curve
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

Price Fixed-Income Instruments

bndprice Price fixed-income security from yield to maturity
bndspread Static spread over spot curve
bndtotalreturn Total return of fixed-coupon bond
floatmargin Margin measures for floating-rate bond
floatdiscmargin Discount margin for floating-rate bond
prdisc Price of discounted security
prmat Price with interest at maturity
prtbill Price of Treasury bill
acrubond Accrued interest of security with periodic interest payments
acrudisc Accrued interest of discount security paying at maturity
beytbill Bond equivalent yield for Treasury bill
bndyield Yield to maturity for fixed-income security
discrate Bank discount rate of money market security
tbl2bond Treasury bond parameters given Treasury bill parameters
tr2bonds Term-structure parameters given Treasury bond parameters
ylddisc Yield of discounted security
yldmat Yield with interest at maturity
yldtbill Yield of Treasury bill
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
cdai Accrued interest on certificate of deposit
cdprice Price of certificate of deposit
cdyield Yield on certificate of deposit (CD)
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

Price Derivative Instruments

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
opprofit Option profit

Stochastic Differential Equation (SDE) Models

Specification

sde Create SDE model from user-specified functions
sdeddo Create sdeddo model from Drift and Diffusion objects
sdeld Construct stochastic differential equation from linear drift-rate models
sdemrd Construct stochastic differential equation from mean-reverting drift-rate models
bm Brownian motion models
cev Construct constant elasticity of variance models (objects of class CEV)
cir Cox-Ingersoll-Ross mean-reverting square root diffusion models
gbm Create GBM model
heston Create Heston model
hwv Create HWV model
drift Construct drift-rate model components
diffusion Construct diffusion-rate model components
ts2func Convert time series arrays to functions of time and state

Simulation

simulate Simulate multivariate stochastic differential equations (SDEs)
simByEuler Euler simulation of stochastic differential equations (SDEs)
simBySolution Simulate approximate solution of diagonal-drift HWV and GBM processes
interpolate Brownian interpolation of stochastic differential equations
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