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Price Fixed-Income Instruments

Analyze term structure, interest rates, accrued interest, bond prices, treasury bills, sensitivities, and yields

An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. The Financial Instruments Toolbox™ provides additional functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions. For more information, see Interest-Rate 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

Examples and How To

Coupon Date Calculations

Financial Toolbox™ follows the SIA conventions in coupon date calculations.

Pricing Functions

This example shows how to compute the price of a bond with an odd first period.

Yield Functions

Compute the yield of a bond that has odd first and last periods and settlement in the first period.

Fixed-Income Sensitivities

Financial Toolbox software supports duration, convexity analysis, and key rate duration.

Computing Treasury Bill Price and Yield

Available functions for computing prices and yields on Treasury bills.

Term Structure of Interest Rates

Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.

Sensitivity of Bond Prices to Interest Rates

This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.

Bond Portfolio for Hedging Duration and Convexity

This example constructs a bond portfolio to hedge a portfolio of bonds.

Term Structure Analysis and Interest-Rate Swaps

This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.


Pricing and Computing Yields for Fixed-Income Securities

Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.

Treasury Bills Defined

Treasury bills are short-term securities sold by the United States Treasury.

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