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Financial Instruments Toolbox Functions

Alphabetical List By Category
agencyoasDetermine option-adjusted spread of callable bond using Agency OAS model
agencypricePrice callable bond using Agency OAS model
asianbycrrPrice Asian option from Cox-Ross-Rubinstein binomial tree
asianbyeqpPrice Asian option from Equal Probabilities binomial tree
asianbyittPrice Asian options using implied trinomial tree (ITT)
asianbykv Prices European geometric Asian options using Kemna-Vorst model
asianbylevy Price of European arithmetic Asian options using Levy model
asianbyls Price European or American Asian options using Monte Carlo simulations
asianbysttPrice Asian options using standard trinomial tree
asiansensbykv Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model
asiansensbylevy Calculate prices or sensitivities of European arithmetic Asian options using Levy model
asiansensbyls Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations
assetbyblsDetermine price of asset-or-nothing digital options using Black-Scholes model
assetsensbyblsDetermine price or sensitivities of asset-or-nothing digital options using Black-Scholes model
barrierbyblsPrice European barrier options using Black-Scholes option pricing model
barrierbycrrPrice barrier option from Cox-Ross-Rubinstein binomial tree
barrierbyeqpPrice barrier option from Equal Probabilities binomial tree
barrierbyfdCalculate barrier option prices using finite difference method
barrierbyittPrice barrier options using implied trinomial tree (ITT)
barrierbylsPrice European or American barier options using Monte Carlo simulations
barrierbysttPrice barrier options using standard trinomial tree
barriersensbyblsCalculate price or sensitivities for European barrier options using Black-Scholes option pricing model
barriersensbyfdCalculate barrier option prices or sensitivities using finite difference method
barriersensbylsCalculate price and sensitivities for European or American barrier options using Monte Carlo simulations
basketbyjuPrice European basket options using Nengjiu Ju approximation model
basketbylsPrice European or American basket options using Monte Carlo simulations
basketsensbyjuDetermine European basket options price or sensitivities using Nengjiu Ju approximation model
basketsensbylsCalculate price and sensitivities for European or American basket options using Monte Carlo simulations
basketstockspecSpecify basket stock structure using Longstaff-Schwartz model
bdtpriceInstrument prices from Black-Derman-Toy interest-rate tree
bdtsensInstrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bdttimespecSpecify time structure for Black-Derman-Toy interest-rate tree
bdttreeConstruct Black-Derman-Toy interest-rate tree
bdtvolspecSpecify Black-Derman-Toy interest-rate volatility process
bkcallPrice European call option on bonds using Black model
bkcapletPrice interest-rate caplet using Black model
bkfloorletPrice interest-rate floorlet using Black model
bkpriceInstrument prices from Black-Karasinski interest-rate tree
bkputPrice European put option on bonds using Black model
bksensInstrument prices and sensitivities from Black-Karasinski interest-rate tree
bktimespecSpecify time structure for Black-Karasinski tree
bktreeConstruct Black-Karasinski interest-rate tree
bkvolspecSpecify Black-Karasinski interest-rate volatility process
blackvolbyrebonato Compute Black volatility for LIBOR Market Model using Rebonato formula
blackvolbysabrCalculate implied Black volatility using SABR model
bndfutimprepoImplied repo rates for bond future given price
bndfutpricePrice bond future given repo rates
bondbybdtPrice bond from Black-Derman-Toy interest-rate tree
bondbybkPrice bond from Black-Karasinski interest-rate tree
bondbyhjmPrice bond from Heath-Jarrow-Morton interest-rate tree
bondbyhwPrice bond from Hull-White interest-rate tree
bondbyzeroPrice bond from set of zero curves
bootstrapBootstrap interest-rate curve from market data
bushpathExtract entries from node of bushy tree
bushshapeRetrieve shape of bushy tree
capbybdtPrice cap instrument from Black-Derman-Toy interest-rate tree
capbybkPrice cap instrument from Black-Karasinski interest-rate tree
capbyblkPrice caps using Black option pricing model
capbyhjmPrice cap instrument from Heath-Jarrow-Morton interest-rate tree
capbyhwPrice cap instrument from Hull-White interest-rate tree
capbylg2f Price cap using Linear Gaussian two-factor model
capbynormalPrice caps using Normal or Bachelier pricing model
capvolstripStrip caplet volatilities from flat cap volatilities
cashbyblsDetermine price of cash-or-nothing digital options using Black-Scholes model
cashsensbyblsDetermine price or sensitivities of cash-or-nothing digital options using Black-Scholes model
cbondbycrrPrice convertible bonds from CRR binomial tree
cbondbyeqpPrice convertible bonds from EQP binomial tree
cbondbyittPrice convertible bonds from ITT trinomial tree
cbondbysttPrice convertible bonds from standard trinomial tree
cdsbootstrapBootstrap default probability curve from credit default swap market quotes
cdsoptpricePrice payer and receiver credit default swap options
cdspriceDetermine price for credit default swap
cdsrpv01 Compute risky present value of a basis point for credit default swap
cdsspreadDetermine spread of credit default swap
cfbybdtPrice cash flows from Black-Derman-Toy interest-rate tree
cfbybkPrice cash flows from Black-Karasinski interest-rate tree
cfbyhjmPrice cash flows from Heath-Jarrow-Morton interest-rate tree
cfbyhwPrice cash flows from Hull-White interest-rate tree
cfbyzeroPrice cash flows from set of zero curves
cfpriceCompute price for cash flow given yield to maturity
cfspreadCompute spread over yield curve for cash flow
cfyieldCompute yield to maturity for cash flow given price
chooserbyblsPrice European simple chooser options using Black-Scholes model
classfinCreate financial structure or return financial structure class name
cmoschedGenerate principal balance schedule for planned amortization class (PAC) or targeted amortization class (TAC) bond
cmoschedcfGenerate cash flows for scheduled collateralized mortgage obligation (CMO) using PAC or TAC model
cmoseqcfGenerate cash flows for sequential collateralized mortgage obligation (CMO)
compoundbycrrPrice compound option from Cox-Ross-Rubinstein binomial tree
compoundbyeqpPrice compound option from Equal Probabilities binomial tree
compoundbyittPrice compound option from implied trinomial tree (ITT)
compoundbysttPrice compound options using standard trinomial tree
convfactorBond conversion factors
creditexposuresCompute credit exposures from contract values
crrpriceInstrument prices from Cox-Ross-Rubinstein tree
crrsensInstrument prices and sensitivities from Cox-Ross-Rubinstein tree
crrtimespecSpecify time structure for Cox-Ross-Rubinstein tree
crrtreeConstruct Cox-Ross-Rubinstein stock tree
cvtreeConvert inverse-discount tree to interest-rate tree
date2timeTime and frequency from dates
datedispDisplay date entries
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options
disc2rateInterest rates from cash flow discounting factors
eqppriceInstrument prices from Equal Probabilities binomial tree
eqpsensInstrument prices and sensitivities from Equal Probabilities binomial tree
eqptimespecSpecify time structure for Equal Probabilities binomial tree
eqptreeConstruct Equal Probabilities stock tree
exposureprofilesCompute exposure profiles from credit exposures
fitFunctionCustom fit interest-rate curve object to bond market data
fitNelsonSiegelFit Nelson-Siegel function to bond market data
fitSmoothingSplineFit smoothing spline to bond market data
fitSvenssonFit Svensson function to bond market data
fixedbybdtPrice fixed-rate note from Black-Derman-Toy interest-rate tree
fixedbybkPrice fixed-rate note from Black-Karasinski interest-rate tree
fixedbyhjmPrice fixed-rate note from Heath-Jarrow-Morton interest-rate tree
fixedbyhwPrice fixed-rate note from Hull-White interest-rate tree
fixedbyzeroPrice fixed-rate note from set of zero curves
floatbybdtPrice floating-rate note from Black-Derman-Toy interest-rate tree
floatbybkPrice floating-rate note from Black-Karasinski interest-rate tree
floatbyhjmPrice floating-rate note from Heath-Jarrow-Morton interest-rate tree
floatbyhwPrice floating-rate note from Hull-White interest-rate tree
floatbyzeroPrice floating-rate note from set of zero curves
floatdiscmarginDiscount margin for floating-rate bond
floatmarginMargin measures for floating-rate bond
floorbybdtPrice floor instrument from Black-Derman-Toy interest-rate tree
floorbybkPrice floor instrument from Black-Karasinski interest-rate tree
floorbyblkPrice floors using Black option pricing model
floorbyhjmPrice floor instrument from Heath-Jarrow-Morton interest-rate tree
floorbyhwPrice floor instrument from Hull-White interest-rate tree
floorbylg2f Price floor using Linear Gaussian two-factor model
floorbynormalPrice floors using Normal or Bachelier pricing model
floorvolstripStrip floorlet volatilities from flat floor volatilities
gapbyblsDetermine price of gap digital options using Black-Scholes model
gapsensbyblsDetermine price or sensitivities of gap digital options using Black-Scholes model
getDiscountFactorsGet discount factors for input dates for IRDataCurve
getDiscountFactorsGet discount factors for input dates for IRFunctionCurve
getForwardRatesGet forward rates for input dates for IRDataCurve
getForwardRatesGet forward rates for input dates for IRFunctionCurve
getParYieldsGet par yields for input dates for IRDataCurve
getParYieldsGet par yields for input dates for IRFunctionCurve
getZeroRatesGet zero rates for input dates for IRDataCurve
getZeroRatesGet zero rates for input dates for IRFunctionCurve
hedgeoptAllocate optimal hedge for target costs or sensitivities
hedgeslfSelf-financing hedge
hjmpriceInstrument prices from Heath-Jarrow-Morton interest-rate tree
hjmsensInstrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
hjmtimespecSpecify time structure for Heath-Jarrow-Morton interest-rate tree
hjmtreeConstruct Heath-Jarrow-Morton interest-rate tree
hjmvolspecSpecify Heath-Jarrow-Morton interest-rate volatility process
HullWhite1FCreate Hull-White one-factor model
hwcalbycapCalibrate Hull-White tree using caps
hwcalbyfloorCalibrate Hull-White tree using floors
hwpriceInstrument prices from Hull-White interest-rate tree
hwsensInstrument prices and sensitivities from Hull-White interest-rate tree
hwtimespecSpecify time structure for Hull-White interest-rate tree
hwtreeConstruct Hull-White interest-rate tree
hwvolspecSpecify Hull-White interest-rate volatility process
impvbybawCalculate implied volatility using Barone-Adesi and Whaley option pricing model
impvbybjsDetermine implied volatility using Bjerksund-Stensland 2002 option pricing model
impvbyblkDetermine implied volatility using Black option pricing model
impvbyblsDetermine implied volatility using Black-Scholes option pricing model
impvbyrgwDetermine implied volatility using Roll-Geske-Whaley option pricing model for American call option
instaddAdd types to instrument collection
instaddfieldAdd new instruments to instrument collection
instasianConstruct Asian option
instbarrierConstruct barrier option
instbondConstruct bond instrument
instcapConstruct cap instrument
instcbondConstruct CBond instrument for convertible bond
instcfConstruct cash flow instrument
instcompoundConstruct compound option
instdeleteComplement of instrument set by matching conditions
instdispDisplay instruments
instfieldsList field names
instfindSearch instruments for matching conditions
instfixedConstruct fixed-rate instrument
instfloatConstruct floating-rate instrument
instfloorConstruct floor instrument
instgetData from instrument variable
instgetcellData and context from instrument variable
instlengthCount instruments
instlookbackConstruct lookback option
instoptbndConstruct bond option
instoptembndConstruct bond with embedded option
instoptemfloatCreate embedded option instrument on floating-rate note or add instrument to current portfolio
instoptfloatCreate option instrument on floating-rate note or add instrument to current portfolio
instoptstockConstruct stock option
instrangefloatConstruct range note instrument
instselectCreate instrument subset by matching conditions
instsetfieldAdd or reset data for existing instruments
instswapConstruct swap instrument
instswaptionConstruct swaption instrument
insttypesList types
intenvgetProperties of interest-rate structure
intenvpricePrice instruments from set of zero curves
intenvsensInstrument price and sensitivities from set of zero curves
intenvsetSet properties of interest-rate structure
IRBootstrapOptionsConstruct specific options for bootstrapping interest-rate curve object
IRDataCurveConstruct interest-rate curve object from dates and data
IRFitOptionsConstruct specific options for fitting interest-rate curve object
IRFunctionCurveConstruct interest-rate curve object from function handle or function and fit to market data
isafinTrue if input argument is financial structure type or financial object class
ittpricePrice instruments using implied trinomial tree (ITT)
ittsensInstrument sensitivities and prices using implied trinomial tree (ITT)
itttimespecSpecify time structure using implied trinomial tree (ITT)
itttreeBuild implied trinomial stock tree
libordurationDuration of LIBOR-based interest-rate swap
liborfloat2fixedCompute par fixed-rate of swap given 3-month LIBOR data
LiborMarketModelCreate LIBOR Market Model
liborpricePrice swap given swap rate
LinearGaussian2FCreate two-factor additive Gaussian interest-rate model
lookbackbycrrPrice lookback option from Cox-Ross-Rubinstein binomial tree
lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbackbyeqpPrice lookback option from Equal Probabilities binomial tree
lookbackbyittPrice lookback option using implied trinomial tree (ITT)
lookbackbylsPrice European or American lookback options using Monte Carlo simulations
lookbackbysttPrice lookback options using standard trinomial tree
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbylsCalculate price and sensitivities for European or American lookback options using Monte Carlo simulations
lrtimespecSpecify time structure for Leisen-Reimer binomial tree
lrtreeBuild Leisen-Reimer stock tree
maxassetbystulzDetermine European rainbow option price on maximum of two risky assets using Stulz option pricing model
maxassetsensbystulzDetermine European rainbow option prices or sensitivities on maximum of two risky assets using Stulz pricing model
mbscfamountsCash flow and time mapping for mortgage pool
mbsconvpConvexity of mortgage pool given price
mbsconvyConvexity of mortgage pool given yield
mbsdurpDuration of mortgage pool given price
mbsduryDuration of mortgage pool given yield
mbsnoprepayEnd-of-month mortgage cash flows and balances without prepayment
mbsoas2pricePrice given option-adjusted spread
mbsoas2yieldYield given option-adjusted spread
mbspassthroughMortgage pool cash flows and balances with prepayment
mbspriceMortgage-backed security price given yield
mbsprice2oasOption-adjusted spread given price
mbsprice2speedImplied PSA prepayment speeds given price
mbswalWeighted average life of mortgage pool
mbsyieldMortgage-backed securities yield given price
mbsyield2oasOption-adjusted spread given yield
mbsyield2speedImplied PSA prepayment speeds given yield
minassetbystulzDetermine European rainbow option prices on minimum of two risky assets using Stulz option pricing model
minassetsensbystulzDetermine European rainbow option prices or sensitivities on minimum of two risky assets using Stulz pricing model
mkbushCreate bushy tree
mktreeCreate recombining binomial tree
mktrintreeCreate recombining trinomial tree
mmktbybdtCreate money-market tree from Black-Derman-Toy interest-rate tree
mmktbyhjmCreate money-market tree from Heath-Jarrow-Morton interest-rate tree
numerixCreate numerix object to set up Numerix CAIL environment
numerixCrossAssetCreate numerixCrossAsset object to set up Numerix CAIL environment
oasbybdtDetermine option adjusted spread using Black-Derman-Toy model
oasbybkDetermine option adjusted spread using Black-Karasinski model
oasbyhjmDetermine option adjusted spread using Heath-Jarrow-Morton model
oasbyhwDetermine option adjusted spread using Hull-White model
optbndbybdt Price bond option from Black-Derman-Toy interest-rate tree
optbndbybk Price bond option from Black-Karasinski interest-rate tree
optbndbyhjm Price bond option from Heath-Jarrow-Morton interest-rate tree
optbndbyhw Price bond option from Hull-White interest-rate tree
optembndbybdtPrice bonds with embedded options by Black-Derman-Toy interest-rate tree
optembndbybkPrice bonds with embedded options by Black-Karasinski interest-rate tree
optembndbyhjmPrice bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
optembndbyhwPrice bonds with embedded options by Hull-White interest-rate tree
optemfloatbybdtPrice embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
optemfloatbybkPrice embedded option on floating-rate note for Black-Karasinski interest-rate tree
optemfloatbyhjmPrice embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree
optemfloatbyhwPrice embedded option on floating-rate note for Hull-White interest-rate tree
optfloatbybdtPrice options on floating-rate notes for Black-Derman-Toy interest-rate tree
optfloatbybkPrice options on floating-rate notes for Black-Karasinski interest-rate tree
optfloatbyhjmPrice options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
optfloatbyhwPrice options on floating-rate notes for Hull-White interest-rate tree
optpricebysimPrice option given simulated underlying values
optsensbysabrCalculate option sensitivities using SABR model
optstockbybawCalculate American options prices using Barone-Adesi and Whaley option pricing model
optstockbybjsPrice American options using Bjerksund-Stensland 2002 option pricing model
optstockbyblkPrice options on futures and forwards using Black option pricing model
optstockbyblsPrice options using Black-Scholes option pricing model
optstockbycrr Price stock option from Cox-Ross-Rubinstein tree
optstockbyeqp Price stock option from Equal Probabilities binomial tree
optstockbyfdCalculate vanilla option prices using finite difference method
optstockbyittPrice options on stocks using implied trinomial tree (ITT)
optstockbylrPrice options on stocks using Leisen-Reimer binomial tree model
optstockbyls Price European, Bermudan, or American vanilla options using Monte Carlo simulations
optstockbyrgwDetermine American call option prices using Roll-Geske-Whaley option pricing model
optstockbystt Price vanilla options on stocks using standard trinomial tree
optstocksensbybawCalculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
optstocksensbybjsDetermine American option prices or sensitivities using Bjerksund-Stensland 2002 option pricing model
optstocksensbyblkDetermine option prices or sensitivities using Black-Scholes option pricing model
optstocksensbyblsDetermine option prices or sensitivities using Black-Scholes option pricing model
optstocksensbyfdCalculate vanilla option prices or sensitivities using finite difference method
optstocksensbylrDetermine option prices or sensitivities using Leisen-Reimer binomial tree model
optstocksensbylsCalculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
optstocksensbyrgwDetermine American call option prices or sensitivities using Roll-Geske-Whaley option pricing model
psaspeed2defaultBenchmark default
psaspeed2rateSingle monthly mortality rate given PSA speed
rangefloatbybdtPrice range floating note using Black-Derman-Toy tree
rangefloatbybkPrice range floating note using Black-Karasinski tree
rangefloatbyhjmPrice range floating note using Heath-Jarrow-Morton tree
rangefloatbyhwPrice range floating note using Hull-White tree
rate2discDiscount factors from interest rates
ratetimesChange time intervals defining interest-rate environment
simTermStructsSimulate term structures for LIBOR Market Model
simTermStructsSimulate term structures for two-factor additive Gaussian interest-rate model
simTermStructsSimulate term structures for Hull-White one-factor model
spreadbybjs Price European spread options using Bjerksund-Stensland pricing model
spreadbyfdPrice European or American spread options using finite difference method
spreadbykirk Price European spread options using Kirk pricing model
spreadbyls Price European or American spread options using Monte Carlo simulations
spreadsensbybjs Calculate European spread option prices or sensitivities using Bjerksund-Stensland pricing model
spreadsensbyfdCalculate price and sensitivities of European or American spread options using finite difference method
spreadsensbykirk Calculate European spread option prices or sensitivities using Kirk pricing model
spreadsensbyls Calculate price and sensitivities for European or American spread options using Monte Carlo simulations
stepcpncfamountsCash flow amounts and times for bonds and stepped coupons
stepcpnpricePrice bond with stepped coupons
stepcpnyieldYield to maturity of bond with stepped coupons
stockoptspecSpecify European stock option structure
stockspecCreate stock structure
sttpricePrice instruments using standard trinomial tree
sttsensInstrument sensitivities and prices using standard trinomial tree
stttimespecSpecify time structure for standard trinomial tree
stttreeBuild standard trinomial tree
supersharebyblsCalculate price of supershare digital options using Black-Scholes model
supersharesensbyblsCalculate price or sensitivities of supershare digital options using Black-Scholes model
swapbybdtPrice swap instrument from Black-Derman-Toy interest-rate tree
swapbybkPrice swap instrument from Black-Karasinski interest-rate tree
swapbyhjmPrice swap instrument from Heath-Jarrow-Morton interest-rate tree
swapbyhwPrice swap instrument from Hull-White interest-rate tree
swapbyzeroPrice swap instrument from set of zero curves and price cross-currency swaps
swaptionbybdtPrice swaption from Black-Derman-Toy interest-rate tree
swaptionbybkPrice swaption from Black-Karasinski interest-rate tree
swaptionbyblkPrice European swaption instrument using Black model
swaptionbyhjmPrice swaption from Heath-Jarrow-Morton interest-rate tree
swaptionbyhwPrice swaption from Hull-White interest-rate tree
swaptionbylg2f Price European swaption using Linear Gaussian two-factor model
swaptionbynormalPrice swaptions using Normal or Bachelier option pricing model
tfutbypriceFuture prices of Treasury bonds given spot price
tfutbyyieldFuture prices of Treasury bonds given current yield
tfutimprepoImplied repo rates for Treasury bond future given price
tfutpricebyrepoCalculates Treasury bond futures price given the implied repo rates
tfutyieldbyrepoCalculates Treasury bond futures yield given the implied repo rates
time2dateDates from time and frequency
toRateSpecConvert IRDataCurve object to RateSpec
toRateSpecConvert IRFunctionCurve object to RateSpec
treepathEntries from node of recombining binomial tree
treeshapeShape of recombining binomial tree
treeviewerTree information
trintreepathEntries from node of recombining trinomial tree
trintreeshapeShape of recombining trinomial tree
zeropricePrice zero-coupon instruments given yield
zeroyieldYield of zero-coupon instruments given price
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