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 |

`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 |

`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 |

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

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

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

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

Was this topic helpful?