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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 (Financial Instruments Toolbox).

Functions

bndpricePrice fixed-income security from yield to maturity
bndspreadStatic spread over spot curve
bndtotalreturnTotal return of fixed-coupon bond
floatmarginMargin measures for floating-rate bond
floatdiscmarginDiscount margin for floating-rate bond
prdiscPrice of discounted security
prmatPrice with interest at maturity
prtbillPrice of Treasury bill
acrubondAccrued interest of security with periodic interest payments
acrudiscAccrued interest of discount security paying at maturity
beytbillBond equivalent yield for Treasury bill
bndyieldYield to maturity for fixed-income security
discrateBank discount rate of money market security
tbl2bondTreasury bond parameters given Treasury bill parameters
tr2bondsTerm-structure parameters given Treasury bond parameters
ylddiscYield of discounted security
yldmatYield with interest at maturity
yldtbillYield of Treasury bill
bndconvpBond convexity given price
bndconvyBond convexity given yield
bnddurpBond duration given price
bndduryBond duration given yield
bndkrdurBond key rate duration given zero curve
cdaiAccrued interest on certificate of deposit
cdpricePrice of certificate of deposit
cdyieldYield on certificate of deposit (CD)
tbilldisc2yieldConvert Treasury bill discount to equivalent yield
tbillpricePrice Treasury bill
tbillrepoBreak-even discount of repurchase agreement
tbillval01Value of one basis point
tbillyieldYield on Treasury bill
tbillyield2discConvert Treasury bill yield to equivalent discount

Examples and How To

Pricing and Computing Yields for Fixed-Income Securities

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

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.

Concepts

Treasury Bills Defined

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

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