Documentation

Financial Instruments Toolbox Classes

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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