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Financial Instruments Toolbox Functions

Alphabetical List By Category

Yield Curves

Bootstrap from Market Data

IRDataCurveConstruct interest-rate curve object from dates and data
IRBootstrapOptionsConstruct specific options for bootstrapping interest-rate curve object

Estimate Model Parameters

IRFunctionCurveConstruct interest-rate curve object from function handle or function and fit to market data
IRFitOptionsConstruct specific options for fitting interest-rate curve object

Interest-Rate Instruments

Instrument Creation

instbondConstruct bond instrument
instcapConstruct cap instrument
instcfConstruct cash flow instrument
instcbondConstruct CBond instrument for convertible bond
instfixedConstruct fixed-rate instrument
instfloatConstruct floating-rate instrument
instfloorConstruct floor instrument
instoptbndConstruct bond option
instoptembndConstruct bond with embedded option
instoptfloatCreate option instrument on floating-rate note or add instrument to current portfolio
instoptemfloatCreate embedded option instrument on floating-rate note or add instrument to current portfolio
instrangefloatConstruct range note instrument
instswapConstruct swap instrument
instswaptionConstruct swaption instrument

Term Structure Definition and Analysis

date2timeTime and frequency from dates
datedispDisplay date entries
disc2rateInterest rates from cash flow discounting factors
intenvgetProperties of interest-rate structure
intenvsetSet properties of interest-rate structure
rate2discDiscount factors from interest rates
ratetimesChange time intervals defining interest-rate environment
time2dateDates from time and frequency

Price Using Term Structure

bondbyzeroPrice bond from set of zero curves
cfbyzeroPrice cash flows from set of zero curves
fixedbyzeroPrice fixed-rate note from set of zero curves
floatbyzeroPrice floating-rate note from set of zero curves
intenvpricePrice instruments from set of zero curves
intenvsensInstrument price and sensitivities from set of zero curves
swapbyzeroPrice swap instrument from set of zero curves and price cross-currency swaps
floatmarginMargin measures for floating-rate bond
floatdiscmarginDiscount margin for floating-rate bond

Price Using Tree Models

Heath-Jarrow-Morton Tree Setup

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

Heath-Jarrow-Morton Tree Analysis

bondbyhjmPrice bond from Heath-Jarrow-Morton interest-rate tree
capbyhjmPrice cap instrument from Heath-Jarrow-Morton interest-rate tree
cfbyhjmPrice cash flows from Heath-Jarrow-Morton interest-rate tree
fixedbyhjmPrice fixed-rate note from Heath-Jarrow-Morton interest-rate tree
floatbyhjmPrice floating-rate note from Heath-Jarrow-Morton interest-rate tree
floorbyhjmPrice floor instrument from Heath-Jarrow-Morton interest-rate tree
hjmpriceInstrument prices from Heath-Jarrow-Morton interest-rate tree
hjmsensInstrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
mmktbyhjmCreate money-market tree from Heath-Jarrow-Morton interest-rate tree
oasbyhjmDetermine option adjusted spread using Heath-Jarrow-Morton model
optbndbyhjm Price bond option from Heath-Jarrow-Morton interest-rate tree
optfloatbyhjmPrice options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
optembndbyhjmPrice bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
optemfloatbyhjmPrice embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree
rangefloatbyhjmPrice range floating note using Heath-Jarrow-Morton tree
swapbyhjmPrice swap instrument from Heath-Jarrow-Morton interest-rate tree
swaptionbyhjmPrice swaption from Heath-Jarrow-Morton interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Black-Derman-Toy Tree Setup

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

Black-Derman-Toy Tree Analysis

bdtpriceInstrument prices from Black-Derman-Toy interest-rate tree
bdtsensInstrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bondbybdtPrice bond from Black-Derman-Toy interest-rate tree
capbybdtPrice cap instrument from Black-Derman-Toy interest-rate tree
cfbybdtPrice cash flows from Black-Derman-Toy interest-rate tree
fixedbybdtPrice fixed-rate note from Black-Derman-Toy interest-rate tree
floatbybdtPrice floating-rate note from Black-Derman-Toy interest-rate tree
floorbybdtPrice floor instrument from Black-Derman-Toy interest-rate tree
mmktbybdtCreate money-market tree from Black-Derman-Toy interest-rate tree
oasbybdtDetermine option adjusted spread using Black-Derman-Toy model
optbndbybdt Price bond option from Black-Derman-Toy interest-rate tree
optfloatbybdtPrice options on floating-rate notes for Black-Derman-Toy interest-rate tree
optembndbybdtPrice bonds with embedded options by Black-Derman-Toy interest-rate tree
optemfloatbybdtPrice embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
rangefloatbybdtPrice range floating note using Black-Derman-Toy tree
swapbybdtPrice swap instrument from Black-Derman-Toy interest-rate tree
swaptionbybdtPrice swaption from Black-Derman-Toy interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Hull-White Tree Setup

hwtimespecSpecify time structure for Hull-White interest-rate tree
hwtreeConstruct Hull-White interest-rate tree
hwvolspecSpecify Hull-White interest-rate volatility process

Hull-White Tree Analysis

bondbyhwPrice bond from Hull-White interest-rate tree
capbyhwPrice cap instrument from Hull-White interest-rate tree
cfbyhwPrice cash flows from Hull-White interest-rate tree
fixedbyhwPrice fixed-rate note from Hull-White interest-rate tree
floatbyhwPrice floating-rate note from Hull-White interest-rate tree
floorbyhwPrice floor instrument from Hull-White interest-rate tree
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
oasbyhwDetermine option adjusted spread using Hull-White model
optbndbyhw Price bond option from Hull-White interest-rate tree
optfloatbyhwPrice options on floating-rate notes for Hull-White interest-rate tree
optembndbyhwPrice bonds with embedded options by Hull-White interest-rate tree
optemfloatbyhwPrice embedded option on floating-rate note for Hull-White interest-rate tree
rangefloatbyhwPrice range floating note using Hull-White tree
swapbyhwPrice swap instrument from Hull-White interest-rate tree
swaptionbyhwPrice swaption from Hull-White interest-rate tree

Black-Karasinski Tree Setup

bktimespecSpecify time structure for Black-Karasinski tree
bktreeConstruct Black-Karasinski interest-rate tree
bkvolspecSpecify Black-Karasinski interest-rate volatility process

Black-Karasinski Tree Analysis

bkpriceInstrument prices from Black-Karasinski interest-rate tree
bksensInstrument prices and sensitivities from Black-Karasinski interest-rate tree
bondbybkPrice bond from Black-Karasinski interest-rate tree
capbybkPrice cap instrument from Black-Karasinski interest-rate tree
cfbybkPrice cash flows from Black-Karasinski interest-rate tree
fixedbybkPrice fixed-rate note from Black-Karasinski interest-rate tree
floatbybkPrice floating-rate note from Black-Karasinski interest-rate tree
floorbybkPrice floor instrument from Black-Karasinski interest-rate tree
oasbybkDetermine option adjusted spread using Black-Karasinski model
optbndbybk Price bond option from Black-Karasinski interest-rate tree
optfloatbybkPrice options on floating-rate notes for Black-Karasinski interest-rate tree
optembndbybkPrice bonds with embedded options by Black-Karasinski interest-rate tree
optemfloatbybkPrice embedded option on floating-rate note for Black-Karasinski interest-rate tree
rangefloatbybkPrice range floating note using Black-Karasinski tree
swapbybkPrice swap instrument from Black-Karasinski interest-rate tree
swaptionbybkPrice swaption from Black-Karasinski interest-rate tree

Tree Manipulation for Interest-Rate Instruments

bushpathExtract entries from node of bushy tree
bushshapeRetrieve shape of bushy tree
cvtreeConvert inverse-discount tree to interest-rate tree
mkbushCreate bushy tree
mktreeCreate recombining binomial tree
mktrintreeCreate recombining trinomial tree
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

Price Using Closed-Form Solutions

Black Model

capbyblkPrice caps using Black option pricing model
floorbyblkPrice floors using Black option pricing model
capvolstripStrip caplet volatilities from flat cap volatilities
floorvolstripStrip floorlet volatilities from flat floor volatilities
swaptionbyblkPrice European swaption instrument using Black model

Normal Model

capbynormalPrice caps using Normal or Bachelier pricing model
floorbynormalPrice floors using Normal or Bachelier pricing model
swaptionbynormalPrice swaptions using Normal or Bachelier option pricing model

SABR Model

blackvolbysabrCalculate implied Black volatility using SABR model
optsensbysabrCalculate option sensitivities using SABR model

Agency OAS Models

agencyoasDetermine option-adjusted spread of callable bond using Agency OAS model
agencypricePrice callable bond using Agency OAS model

Bond Futures

bndfutimprepoImplied repo rates for bond future given price
bndfutpricePrice bond future given repo rates
convfactorBond conversion factors
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

Price Using Monte Carlo Simulation

LiborMarketModelCreate LIBOR Market Model
LinearGaussian2FCreate two-factor additive Gaussian interest-rate model
HullWhite1FCreate Hull-White one-factor model
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
capbylg2f Price cap using Linear Gaussian two-factor model
floorbylg2f Price floor using Linear Gaussian two-factor model
swaptionbylg2f Price European swaption using Linear Gaussian two-factor model
blackvolbyrebonato Compute Black volatility for LIBOR Market Model using Rebonato formula
hwcalbycapCalibrate Hull-White tree using caps
hwcalbyfloorCalibrate Hull-White tree using floors

Portfolio Valuation

instaddAdd types to instrument collection
instaddfieldAdd new instruments to instrument collection
instdeleteComplement of instrument set by matching conditions
instdispDisplay instruments
instfieldsList field names
instfindSearch instruments for matching conditions
instgetData from instrument variable
instgetcellData and context from instrument variable
instlengthCount instruments
instselectCreate instrument subset by matching conditions
instsetfieldAdd or reset data for existing instruments
insttypesList types
intenvsetSet properties of interest-rate structure
hedgeoptAllocate optimal hedge for target costs or sensitivities
hedgeslfSelf-financing hedge

Equity Derivatives

Instrument Creation

instasianConstruct Asian option
instbarrierConstruct barrier option
instcbondConstruct CBond instrument for convertible bond
instcompoundConstruct compound option
instlookbackConstruct lookback option
instoptstockConstruct stock option

Price Using Tree Models

Cox-Ross-Rubinstein Tree Setup

crrtimespecSpecify time structure for Cox-Ross-Rubinstein tree
crrtreeConstruct Cox-Ross-Rubinstein stock tree
stockspecCreate stock structure

Cox-Ross-Rubinstein Tree Analysis

asianbycrrPrice Asian option from Cox-Ross-Rubinstein binomial tree
barrierbycrrPrice barrier option from Cox-Ross-Rubinstein binomial tree
cbondbycrrPrice convertible bonds from CRR binomial tree
compoundbycrrPrice compound option from Cox-Ross-Rubinstein binomial tree
crrpriceInstrument prices from Cox-Ross-Rubinstein tree
crrsensInstrument prices and sensitivities from Cox-Ross-Rubinstein tree
lookbackbycrrPrice lookback option from Cox-Ross-Rubinstein binomial tree
optstockbycrr Price stock option from Cox-Ross-Rubinstein tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Equal Probabilities Binomial Tree Setup

eqptimespecSpecify time structure for Equal Probabilities binomial tree
eqptreeConstruct Equal Probabilities stock tree
stockspecCreate stock structure

Equal Probabilities Binomial Tree Analysis

asianbyeqpPrice Asian option from Equal Probabilities binomial tree
barrierbyeqpPrice barrier option from Equal Probabilities binomial tree
cbondbyeqpPrice convertible bonds from EQP binomial tree
compoundbyeqpPrice compound option from Equal Probabilities binomial tree
eqppriceInstrument prices from Equal Probabilities binomial tree
eqpsensInstrument prices and sensitivities from Equal Probabilities binomial tree
lookbackbyeqpPrice lookback option from Equal Probabilities binomial tree
optstockbyeqp Price stock option from Equal Probabilities binomial tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Leisen-Reimer Tree Setup

lrtimespecSpecify time structure for Leisen-Reimer binomial tree
lrtreeBuild Leisen-Reimer stock tree
stockspecCreate stock structure

Leisen-Reimer Tree Analysis

optstockbylrPrice options on stocks using Leisen-Reimer binomial tree model
optstocksensbylrDetermine option prices or sensitivities using Leisen-Reimer binomial tree model

Implied Trinomial Tree Setup

itttimespecSpecify time structure using implied trinomial tree (ITT)
itttreeBuild implied trinomial stock tree
stockoptspecSpecify European stock option structure

Implied Trinomial Tree Analysis

asianbyittPrice Asian options using implied trinomial tree (ITT)
barrierbyittPrice barrier options using implied trinomial tree (ITT)
compoundbyittPrice compound option from implied trinomial tree (ITT)
ittpricePrice instruments using implied trinomial tree (ITT)
ittsensInstrument sensitivities and prices using implied trinomial tree (ITT)
lookbackbyittPrice lookback option using implied trinomial tree (ITT)
optstockbyittPrice options on stocks using implied trinomial tree (ITT)
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Standard Trinomial Tree Setup

stttimespecSpecify time structure for standard trinomial tree
stttreeBuild standard trinomial tree

Standard Trinomial Tree Analysis

asianbysttPrice Asian options using standard trinomial tree
barrierbysttPrice barrier options using standard trinomial tree
compoundbysttPrice compound options using standard trinomial tree
sttpricePrice instruments using standard trinomial tree
sttsensInstrument sensitivities and prices using standard trinomial tree
lookbackbysttPrice lookback options using standard trinomial tree
optstockbystt Price vanilla options on stocks using standard trinomial tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Tree Manipulation for Equity Instruments

bushpathExtract entries from node of bushy tree
bushshapeRetrieve shape of bushy tree
cvtreeConvert inverse-discount tree to interest-rate tree
mkbushCreate bushy tree
mktreeCreate recombining binomial tree
mktrintreeCreate recombining trinomial tree
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

Price Using Closed-Form Solutions

Black-Scholes Model

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
barriersensbyblsCalculate price or sensitivities for European barrier options using Black-Scholes option pricing model
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
chooserbyblsPrice European simple chooser options using Black-Scholes model
gapbyblsDetermine price of gap digital options using Black-Scholes model
gapsensbyblsDetermine price or sensitivities of gap digital options using Black-Scholes model
impvbyblsDetermine implied volatility using Black-Scholes option pricing model
optstockbyblsPrice options using Black-Scholes option pricing model
optstocksensbyblsDetermine option prices or sensitivities using Black-Scholes option pricing model
supersharebyblsCalculate price of supershare digital options using Black-Scholes model
supersharesensbyblsCalculate price or sensitivities of supershare digital options using Black-Scholes model

Black Model

impvbyblkDetermine implied volatility using Black option pricing model
optstockbyblkPrice options on futures and forwards using Black option pricing model
optstocksensbyblkDetermine option prices or sensitivities using Black-Scholes option pricing model

Roll-Geske-Whaley Model

impvbyrgwDetermine implied volatility using Roll-Geske-Whaley option pricing model for American call option
optstockbyrgwDetermine American call option prices using Roll-Geske-Whaley option pricing model
optstocksensbyrgwDetermine American call option prices or sensitivities using Roll-Geske-Whaley option pricing model

Bjerksund-Stensland Model

impvbybjsDetermine implied volatility using Bjerksund-Stensland 2002 option pricing model
optstockbybjsPrice American options using Bjerksund-Stensland 2002 option pricing model
optstocksensbybjsDetermine American option prices or sensitivities using Bjerksund-Stensland 2002 option pricing model
spreadbybjs Price European spread options using Bjerksund-Stensland pricing model
spreadsensbybjs Calculate European spread option prices or sensitivities using Bjerksund-Stensland pricing model

Nengjiu Ju Model

basketbyjuPrice European basket options using Nengjiu Ju approximation model
basketsensbyjuDetermine European basket options price or sensitivities using Nengjiu Ju approximation model
basketstockspecSpecify basket stock structure using Longstaff-Schwartz model

Stulz Model

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
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

Kirk Model

spreadbykirk Price European spread options using Kirk pricing model
spreadsensbykirk Calculate European spread option prices or sensitivities using Kirk pricing model

Kemna Vorst Model

asianbykv Prices European geometric Asian options using Kemna-Vorst model
asiansensbykv Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model

Levy Model

asianbylevy Price of European arithmetic Asian options using Levy model
asiansensbylevy Calculate prices or sensitivities of European arithmetic Asian options using Levy model

Conze-Viswanathan and Goldman-Sosin-Gatto Models

lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models

Barone-Adesi-Whaley Model

optstockbybawCalculate American options prices using Barone-Adesi and Whaley option pricing model
optstocksensbybawCalculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
impvbybawCalculate implied volatility using Barone-Adesi and Whaley option pricing model

Price Using Monte Carlo Simulation

basketbylsPrice European or American basket options using Monte Carlo simulations
basketsensbylsCalculate price and sensitivities for European or American basket options using Monte Carlo simulations
barrierbylsPrice European or American barier options using Monte Carlo simulations
barriersensbylsCalculate price and sensitivities for European or American barrier options using Monte Carlo simulations
asianbyls Price European or American Asian options using Monte Carlo simulations
asiansensbyls Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations
lookbackbylsPrice European or American lookback options using Monte Carlo simulations
lookbacksensbylsCalculate price and sensitivities for European or American lookback options using Monte Carlo simulations
spreadbyls Price European or American spread options using Monte Carlo simulations
spreadsensbyls Calculate price and sensitivities for European or American spread options using Monte Carlo simulations
optstockbyls Price European, Bermudan, or American vanilla options using Monte Carlo simulations
optstocksensbylsCalculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
optpricebysimPrice option given simulated underlying values

Portfolio Valuation

instaddAdd types to instrument collection
instaddfieldAdd new instruments to instrument collection
instdeleteComplement of instrument set by matching conditions
instdispDisplay instruments
instfieldsList field names
instfindSearch instruments for matching conditions
instgetData from instrument variable
instgetcellData and context from instrument variable
instlengthCount instruments
instselectCreate instrument subset by matching conditions
instsetfieldAdd or reset data for existing instruments
insttypesList types
stockspecCreate stock structure
intenvsetSet properties of interest-rate structure
basketstockspecSpecify basket stock structure using Longstaff-Schwartz model
hedgeoptAllocate optimal hedge for target costs or sensitivities
hedgeslfSelf-financing hedge

Energy Derivatives

Price Using Monte Carlo Simulation

spreadbyls Price European or American spread options using Monte Carlo simulations
spreadsensbyls Calculate price and sensitivities for European or American spread options using Monte Carlo simulations
barrierbylsPrice European or American barier options using Monte Carlo simulations
barriersensbylsCalculate price and sensitivities for European or American barrier options using Monte Carlo simulations
asianbyls Price European or American Asian options using Monte Carlo simulations
asiansensbyls Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations
lookbackbylsPrice European or American lookback options using Monte Carlo simulations
lookbacksensbylsCalculate price and sensitivities for European or American lookback options using Monte Carlo simulations
optstockbyls Price European, Bermudan, or American vanilla options using Monte Carlo simulations
optstocksensbylsCalculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
optpricebysimPrice option given simulated underlying values

Price Using Closed-Form Solutions

spreadbykirk Price European spread options using Kirk pricing model
spreadsensbykirk Calculate European spread option prices or sensitivities using Kirk pricing model
spreadbybjs Price European spread options using Bjerksund-Stensland pricing model
spreadsensbybjs Calculate European spread option prices or sensitivities using Bjerksund-Stensland pricing model
asianbykv Prices European geometric Asian options using Kemna-Vorst model
asiansensbykv Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model
asianbylevy Price of European arithmetic Asian options using Levy model
asiansensbylevy Calculate prices or sensitivities of European arithmetic Asian options using Levy model
lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
optstockbyblkPrice options on futures and forwards using Black option pricing model
optstocksensbyblkDetermine option prices or sensitivities using Black-Scholes option pricing model
optstockbybawCalculate American options prices using Barone-Adesi and Whaley option pricing model
optstocksensbybawCalculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
impvbybawCalculate implied volatility using Barone-Adesi and Whaley option pricing model

Price Using Finite Differences

spreadbyfdPrice European or American spread options using finite difference method
spreadsensbyfdCalculate price and sensitivities of European or American spread options using finite difference method
barrierbyfdCalculate barrier option prices using finite difference method
barriersensbyfdCalculate barrier option prices or sensitivities using finite difference method
optstockbyfdCalculate vanilla option prices using finite difference method
optstocksensbyfdCalculate vanilla option prices or sensitivities using finite difference method

Credit Derivatives

Credit Default Swaps

cdsbootstrapBootstrap default probability curve from credit default swap market quotes
cdspriceDetermine price for credit default swap
cdsspreadDetermine spread of credit default swap
cdsrpv01 Compute risky present value of a basis point for credit default swap

Credit Default Swap Options

cdsoptpricePrice payer and receiver credit default swap options
cdsrpv01 Compute risky present value of a basis point for credit default swap

Counterparty Credit Risk

creditexposuresCompute credit exposures from contract values
exposureprofilesCompute exposure profiles from credit exposures

Mortgage-Backed Securities

Mortgage Pass-Through

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
mbspassthroughMortgage pool cash flows and balances with prepayment
mbspriceMortgage-backed security price given yield
mbswalWeighted average life of mortgage pool
mbsyieldMortgage-backed securities yield given price
mbsprice2speedImplied PSA prepayment speeds given price
mbsyield2speedImplied PSA prepayment speeds given yield
psaspeed2defaultBenchmark default
psaspeed2rateSingle monthly mortality rate given PSA speed
mbsoas2pricePrice given option-adjusted spread
mbsoas2yieldYield given option-adjusted spread
mbsprice2oasOption-adjusted spread given price
mbsyield2oasOption-adjusted spread given yield

Collateralized Mortgage Obligations

cmoseqcfGenerate cash flows for sequential collateralized mortgage obligation (CMO)
cmoschedcfGenerate cash flows for scheduled collateralized mortgage obligation (CMO) using PAC or TAC model
cmoschedGenerate principal balance schedule for planned amortization class (PAC) or targeted amortization class (TAC) bond
mbscfamountsCash flow and time mapping for mortgage pool
cfspreadCompute spread over yield curve for cash flow
cfpriceCompute price for cash flow given yield to maturity
cfyieldCompute yield to maturity for cash flow given price

Convertible Bonds

cbondbycrrPrice convertible bonds from CRR binomial tree
cbondbyeqpPrice convertible bonds from EQP binomial tree
cbondbysttPrice convertible bonds from standard trinomial tree
cbondbyittPrice convertible bonds from ITT trinomial tree
instcbondConstruct CBond instrument for convertible bond
instaddAdd types to instrument collection
instdispDisplay instruments
eqppriceInstrument prices from Equal Probabilities binomial tree
eqpsensInstrument prices and sensitivities from Equal Probabilities binomial tree
crrpriceInstrument prices from Cox-Ross-Rubinstein tree
crrsensInstrument prices and sensitivities from Cox-Ross-Rubinstein tree
sttpricePrice instruments using standard trinomial tree
sttsensInstrument sensitivities and prices using standard trinomial tree
ittpricePrice instruments using implied trinomial tree (ITT)
ittsensInstrument sensitivities and prices using implied trinomial tree (ITT)

Numerix Interface

numerixCreate numerix object to set up Numerix CAIL environment
numerixCrossAssetCreate numerixCrossAsset object to set up Numerix CAIL environment
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