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Financial Instruments Toolbox Product Description

Design, price, and hedge complex financial instruments

Financial Instruments Toolbox™ provides functions for pricing, modeling, and analyzing fixed-income, credit, and equity instrument portfolios. You can use the toolbox to perform cash-flow modeling and yield curve fitting analysis, compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods. The toolbox lets you create new financial instrument types, fit yield curves to market data using parametric fitting models and bootstrapping, and construct dual curve-based pricing models.

You can price and analyze fixed-income and equity instruments. For fixed-income modeling, you can calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For equities, you can compute price, implied volatility, and greek values of vanilla options and several exotic derivatives.

Financial Instruments Toolbox contains functions to model counterparty credit risk and CVA exposure. For credit derivatives, the toolbox includes credit default swap pricing and default probability curve modeling functions. For energy derivatives, you can model exotic and vanilla options. The toolbox also provides connectivity to Numerix® CrossAsset Integration Layer.

Key Features

  • Yield curve fitting with bootstrapping and parametric fitting models, and term-structure analysis with dual curve construction and pricing of swaps, caps, floors, and swaptions (using LIBOR-OIS and other curves)

  • Black Scholes, Black, Garman-Kohlhagen, Roll-Geske-Whaley, Bjerksund-Stensland, Nengjiu Ju, Stulz, Levy jump diffusion, Longstaff-Schwartz, SABR, and tree models and Monte Carlo simulation

  • Fixed-income and equity derivative calculations for price, yield, discount rate, cash-flow schedule, spread, implied volatility, option adjusted spread (OAS), and greeks

  • Counterparty credit risk, CVA modeling, and credit instruments for mortgage pools, balloon mortgages, and credit default swaps

  • Interest-rate instruments: bonds, stepped-coupon bonds, futures, vanilla options, Bermudan options, bonds with embedded options, vanilla swaps, forward swaps, amortizing swaps, swaptions, caps, floors, range notes, floating-rate notes, and collared floating-rate notes

  • Equity instruments: stocks, vanilla options, Bermudan options, Asian options, lookback options, barrier options, digital options, rainbow options, basket options, compound options, and chooser options

  • Energy and commodity instruments: Asian options, Bermudan options, lookback options, swing options, spread options, and vanilla European/American options

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