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Financial Instruments Toolbox

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.

Getting Started

Learn the basics of Financial Instruments Toolbox

Yield Curves

Bootstrap yield curves from market data, estimate parameters for yield curve models

Interest-Rate Instruments

Interest-rate instruments price, sensitivities, and term structure

Equity Derivatives

Equity options price and sensitivities

Energy Derivatives

Energy options price and sensitivities

Credit Derivatives

Credit default swap pricing and default probability curve

Counterparty Credit Risk

Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)

Mortgage-Backed Securities

Mortgage pass-through cash flows, CMO instrument pricing

Convertible Bonds

Convertible bond pricing with fixed or variable coupon rates

Numerix Interface

Numerix instruments and risk models using Numerix CAIL (CrossAsset Integration Layer)