Classes in Financial Instruments Toolbox

  • By Category | Alphabetical List
  • Yield Curves

    Bootstrap from Market Data

    IRDataCurve Construct interest-rate curve object from dates and data
    IRBootstrapOptions Construct specific options for bootstrapping interest-rate curve object

    Estimate Model Parameters

    IRFunctionCurve Construct interest-rate curve object from function handle or function and fit to market data
    IRFitOptions Construct specific options for fitting interest-rate curve object

    Interest-Rate Instruments

    Price Using Monte Carlo Simulation

    HullWhite1F Create Hull-White one-factor model
    LinearGaussian2F Create two-factor additive Gaussian interest-rate model
    LiborMarketModel Create LIBOR Market Model

    Numerix Interface

    numerix Create numerix object to set up Numerix CAIL environment
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