Documentation Center

  • Trial Software
  • Product Updates

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 and fit yield curves to market data using parametric fitting models and bootstrapping.

Financial Instruments Toolbox includes functions for pricing and analyzing fixed-income and equity instruments. Fixed-income modeling tools let you calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including mortgage-backed securities, treasury bills, bonds, bonds with embedded options, swaps, caps, floors, and floating-rate notes. For equities, the toolbox lets you compute price, implied volatility, and greek values of vanilla equity options and of several exotic equity derivatives such as Bermuda, basket, barrier, digital, and rainbow options.

Key Features

  • Yield curve fitting with bootstrapping and parametric fitting models, and term-structure analysis

  • Black Scholes, Black, Garman-Kohlhagen, Roll-Geske-Whaley, Bjerksund-Stensland, Nengjiu Ju, Stulz, and Longstaff-Schwartz models

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

  • Tree models: CRR, EQP, LR, ITT, HJM, BDT, BK, and HW

  • Interest-rate instruments: bonds, stepped-coupon bonds, futures, vanilla options, Bermuda 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, Bermuda options, Asian options, lookback options, barrier options, digital options, rainbow options, basket options, compound options, and chooser options

  • Credit instruments: mortgage pools, balloon mortgages, and credit default swaps

Was this topic helpful?