Function Reference

Alphabetical List

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Interest-Rate Instruments Work with interest-rate instruments Interest-Rate Term Structure Work with interest-rate term structure Interest-Rate Tree Models Work with interest-rate models Interest-Rate Closed-Form Solutions Work with interest-rate closed-form solutions Equity Instruments Work with interest-rate instruments Equity Tree Models Work with equity tree models Equity Derivative Closed-Form Solutions Work with equity derivatives closed-form solutions Monte Carlo Simulation for Equity Derivatives Work with Monte Carlo simulation for equity derivatives Controlling Defaults and Options Work with derivatives pricing options Portfolio Handling for Interest and Equity Instruments Work with portfolio handling for interest and equity instruments Financial Object Structures Work with financial structures Hedging Portfolios Work with hedge portfolios

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Interest-Rate Instruments

instbond	Construct bond instrument
instcap	Construct cap instrument
instcf	Construct cash flow instrument
instfixed	Construct fixed-rate instrument
instfloat	Construct floating-rate instrument
instfloor	Construct floor instrument
instoptbnd	Construct bond option
instoptembnd	Construct bond with embedded option
instrangefloat	Construct range note instrument
instswap	Construct swap instrument
instswaption	Construct swaption instrument

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Interest-Rate Term Structure

bondbyzero	Price bond from set of zero curves
cfbyzero	Price cash flows from set of zero curves
date2time	Time and frequency from dates
datedisp	Display date entries
disc2rate	Interest rates from cash flow discounting factors
fixedbyzero	Price fixed-rate note from set of zero curves
floatbyzero	Price floating-rate note from set of zero curves
intenvget	Properties of interest-rate structure
intenvprice	Price instruments from set of zero curves
intenvsens	Instrument price and sensitivities from set of zero curves
intenvset	Set properties of interest-rate structure
rate2disc	Discount factors from interest rates
ratetimes	Change time intervals defining interest-rate environment
swapbyzero	Price swap instrument from set of zero curves
time2date	Dates from time and frequency

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Interest-Rate Tree Models

Heath-Jarrow-Morton Trees Heath-Jarrow-Morton Tree Utililites Black-Derman-Toy Trees Black-Derman-Toy Tree Utilities Hull-White Trees Hull-White Tree Utilities Black-Karasinski Trees Black-Karasinski Tree Utilities Tree Manipulation

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Heath-Jarrow-Morton Trees

hjmtimespec	Specify time structure for Heath-Jarrow-Morton interest-rate tree
hjmtree	Construct Heath-Jarrow-Morton interest-rate tree
hjmvolspec	Specify Heath-Jarrow-Morton interest-rate volatility process

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Heath-Jarrow-Morton Tree Utililites

bondbyhjm	Price bond from Heath-Jarrow-Morton interest-rate tree
capbyhjm	Price cap instrument from Heath-Jarrow-Morton interest-rate tree
cfbyhjm	Price cash flows from Heath-Jarrow-Morton interest-rate tree
fixedbyhjm	Price fixed-rate note from Heath-Jarrow-Morton interest-rate tree
floatbyhjm	Price floating-rate note from Heath-Jarrow-Morton interest-rate tree
floorbyhjm	Price floor instrument from Heath-Jarrow-Morton interest-rate tree
hjmprice	Instrument prices from Heath-Jarrow-Morton interest-rate tree
hjmsens	Instrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
mmktbyhjm	Create money-market tree from Heath-Jarrow-Morton interest-rate tree
oasbyhjm	Determine option adjusted spread using Heath-Jarrow-Morton model
optbndbyhjm	Price bond option from Heath-Jarrow-Morton interest-rate tree
optembndbyhjm	Price bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
rangefloatbyhjm	Price range floating note using Heath-Jarrow-Morton tree
swapbyhjm	Price swap instrument from Heath-Jarrow-Morton interest-rate tree
swaptionbyhjm	Price swaption from Heath-Jarrow-Morton interest-rate tree

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Black-Derman-Toy Trees

bdttimespec	Specify time structure for Black-Derman-Toy interest-rate tree
bdttree	Construct Black-Derman-Toy interest-rate tree
bdtvolspec	Specify Black-Derman-Toy interest-rate volatility process

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Black-Derman-Toy Tree Utilities

bdtprice	Instrument prices from Black-Derman-Toy interest-rate tree
bdtsens	Instrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bondbybdt	Price bond from Black-Derman-Toy interest-rate tree
capbybdt	Price cap instrument from Black-Derman-Toy interest-rate tree
cfbybdt	Price cash flows from Black-Derman-Toy interest-rate tree
fixedbybdt	Price fixed-rate note from Black-Derman-Toy interest-rate tree
floatbybdt	Price floating-rate note from Black-Derman-Toy interest-rate tree
floorbybdt	Price floor instrument from Black-Derman-Toy interest-rate tree
mmktbybdt	Create money-market tree from Black-Derman-Toy interest-rate tree
oasbybdt	Determine option adjusted spread using Black-Derman-Toy model
optbndbybdt	Price bond option from Black-Derman-Toy interest-rate tree
optembndbybdt	Price bonds with embedded options by Black-Derman-Toy interest-rate tree
rangefloatbybdt	Price range floating note using Black-Derman-Toy tree
swapbybdt	Price swap instrument from Black-Derman-Toy interest-rate tree
swaptionbybdt	Price swaption from Black-Derman-Toy interest-rate tree

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Hull-White Trees

hwtimespec	Specify time structure for Hull-White interest-rate tree
hwtree	Construct Hull-White interest-rate tree
hwvolspec	Specify Hull-White interest-rate volatility process

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Hull-White Tree Utilities

bondbyhw	Price bond from Hull-White interest-rate tree
capbyhw	Price cap instrument from Hull-White interest-rate tree
cfbyhw	Price cash flows from Hull-White interest-rate tree
fixedbyhw	Price fixed-rate note from Hull-White interest-rate tree
floatbyhw	Price floating-rate note from Hull-White interest-rate tree
floorbyhw	Price floor instrument from Hull-White interest-rate tree
hwcalbycap	Calibrate Hull-White tree using caps
hwcalbyfloor	Calibrate Hull-White tree using floors
hwprice	Instrument prices from Hull-White interest-rate tree
hwsens	Instrument prices and sensitivities from Hull-White interest-rate tree
oasbyhw	Determine option adjusted spread using Hull-White model
optbndbyhw	Price bond option from Hull-White interest-rate tree
optembndbyhw	Price bonds with embedded options by Hull-White interest-rate tree
rangefloatbyhw	Price range floating note using Hull-White tree
swapbyhw	Price swap instrument from Hull-White interest-rate tree
swaptionbyhw	Price swaption from Hull-White interest-rate tree

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Black-Karasinski Trees

bktimespec	Specify time structure for Black-Karasinski tree
bktree	Construct Black-Karasinski interest-rate tree
bkvolspec	Specify Black-Karasinski interest-rate volatility process

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Black-Karasinski Tree Utilities

bkprice	Instrument prices from Black-Karasinski interest-rate tree
bksens	Instrument prices and sensitivities from Black-Karasinski interest-rate tree
bondbybk	Price bond from Black-Karasinski interest-rate tree
capbybk	Price cap instrument from Black-Karasinski interest-rate tree
cfbybk	Price cash flows from Black-Karasinski interest-rate tree
fixedbybk	Price fixed-rate note from Black-Karasinski interest-rate tree
floatbybk	Price floating-rate note from Black-Karasinski interest-rate tree
floorbybk	Price floor instrument from Black-Karasinski interest-rate tree
oasbybk	Determine option adjusted spread using Black-Karasinski model
optbndbybk	Price bond option from Black-Karasinski interest-rate tree
optembndbybk	Price bonds with embedded options by Black-Karasinski interest-rate tree
rangefloatbybk	Price range floating note using Black-Karasinski tree
swapbybk	Price swap instrument from Black-Karasinski interest-rate tree
swaptionbybk	Price swaption from Black-Karasinski interest-rate tree

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Tree Manipulation

bushpath	Extract entries from node of bushy tree
bushshape	Retrieve shape of bushy tree
cvtree	Convert inverse-discount tree to interest-rate tree
mkbush	Create bushy tree
mktree	Create recombining binomial tree
mktrintree	Create recombining trinomial tree
treepath	Entries from node of recombining binomial tree
treeshape	Shape of recombining binomial tree
treeviewer	Tree information
trintreepath	Entries from node of recombining trinomial tree
trintreeshape	Shape of recombining trinomial tree

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Interest-Rate Closed-Form Solutions

capbyblk	Price caps using Black option pricing model
floorbyblk	Price floors using Black option pricing model
swaptionbyblk	Price European swaption instrument using Black model

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Equity Instruments

instasian	Construct Asian option
instbarrier	Construct barrier option
instcompound	Construct compound option
instlookback	Construct lookback option
instoptstock	Construct stock option

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Equity Tree Models

Cox-Ross-Rubinstein Trees Cox-Ross-Rubinstein Tree Utilities Equal Probabilities Binomial Trees Equal Probabilities Binomial Tree Utilities Leisen-Reimer Trees Leisen-Reimer Tree Utilities Implied Trinomial Trees Implied Trinomial Tree Utilities Tree Manipulation

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Cox-Ross-Rubinstein Trees

crrtimespec	Specify time structure for Cox-Ross-Rubinstein tree
crrtree	Construct Cox-Ross-Rubinstein stock tree

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Cox-Ross-Rubinstein Tree Utilities

asianbycrr	Price Asian option from Cox-Ross-Rubinstein binomial tree
barrierbycrr	Price barrier option from Cox-Ross-Rubinstein binomial tree
compoundbycrr	Price compound option from Cox-Ross-Rubinstein binomial tree
crrprice	Instrument prices from Cox-Ross-Rubinstein tree
crrsens	Instrument prices and sensitivities from Cox-Ross-Rubinstein tree
lookbackbycrr	Price lookback option from Cox-Ross-Rubinstein tree
optstockbycrr	Price stock option from Cox-Ross-Rubinstein tree

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Equal Probabilities Binomial Trees

eqptimespec	Specify time structure for Equal Probabilities binomial tree
eqptree	Construct Equal Probabilities stock tree

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Equal Probabilities Binomial Tree Utilities

asianbyeqp	Price Asian option from Equal Probabilities binomial tree
barrierbyeqp	Price barrier option from Equal Probabilities binomial tree
compoundbyeqp	Price compound option from Equal Probabilities binomial tree
eqpprice	Instrument prices from Equal Probabilities binomial tree
eqpsens	Instrument prices and sensitivities from Equal Probabilities binomial tree
lookbackbyeqp	Price lookback option from Equal Probabilities binomial tree
optstockbyeqp	Price stock option from Equal Probabilities binomial tree

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Leisen-Reimer Trees

lrtimespec	Specify time structure for Leisen-Reimer binomial tree
lrtree	Build Leisen-Reimer stock tree

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Leisen-Reimer Tree Utilities

optstockbylr	Price options on stocks using Leisen-Reimer binomial tree model
optstocksensbylr	Determine option prices and sensitivities using Leisen-Reimer binomial tree model

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Implied Trinomial Trees

itttimespec	Specify time structure using implied trinomial tree (ITT)
itttree	Build implied trinomial stock tree

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Implied Trinomial Tree Utilities

asianbyitt	Price Asian options using implied trinomial tree (ITT)
barrierbyitt	Price barrier options using implied trinomial tree (ITT)
compoundbyitt	Price compound options using implied trinomial tree (ITT)
ittprice	Price instruments using implied trinomial tree (ITT)
ittsens	Instrument sensitivities and prices using implied trinomial tree (ITT)
lookbackbyitt	Price lookback option using implied trinomial tree (ITT)
optstockbyitt	Price options on stocks using implied trinomial tree (ITT)
stockoptspec	Specify European stock option structure

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Tree Manipulation

bushpath	Extract entries from node of bushy tree
bushshape	Retrieve shape of bushy tree
cvtree	Convert inverse-discount tree to interest-rate tree
mkbush	Create bushy tree
mktree	Create recombining binomial tree
mktrintree	Create recombining trinomial tree
treepath	Entries from node of recombining binomial tree
treeshape	Shape of recombining binomial tree
treeviewer	Tree information
trintreepath	Entries from node of recombining trinomial tree
trintreeshape	Shape of recombining trinomial tree

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Equity Derivative Closed-Form Solutions

Black-Scholes Option Pricing Model Black Option Pricing Model Role-Geske-Whaley Option Pricing Model Bjerksund-Stensland Option Pricing Model Nengjiu Ju Approximation Pricing Model Stulz Option Pricing

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Black-Scholes Option Pricing Model

assetbybls	Determine price of asset-or-nothing digital options using Black-Scholes model
assetsensbybls	Determine price and sensitivities of asset-or-nothing digital options using Black-Scholes model
cashbybls	Determine price of cash-or-nothing digital options using Black-Scholes model
cashsensbybls	Determine price and sensitivities of cash-or-nothing digital options using Black-Scholes model
chooserbybls	Price European simple chooser options using Black-Scholes model
gapbybls	Determine price of gap digital options using Black-Scholes model
gapsensbybls	Determine price and sensitivities of gap digital options using Black-Scholes model
impvbybls	Determine implied volatility using Black-Scholes option pricing model
optstockbybls	Price options using Black-Scholes option pricing model
optstocksensbybls	Determine option prices and sensitivities using Black-Scholes option pricing model
supersharebybls	Calculate price of supershare digital options using Black-Scholes model
supersharesensbybls	Calculate price and sensitivities of supershare digital options using Black-Scholes model

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Black Option Pricing Model

impvbyblk	Determine implied volatility using Black option pricing model
optstockbyblk	Price options on futures using Black option pricing model
optstocksensbyblk	Determine option prices and sensitivities on futures using Black pricing model

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Role-Geske-Whaley Option Pricing Model

impvbyrgw	Determine implied volatility using Roll-Geske-Whaley option pricing model for American call option
optstockbyrgw	Determine American call option prices using Roll-Geske-Whaley option pricing model
optstocksensbyrgw	Determine American call option prices and sensitivities using Roll-Geske-Whaley option pricing model

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Bjerksund-Stensland Option Pricing Model

impvbybjs	Determine implied volatility using Bjerksund-Stensland 2002 option pricing model
optstockbybjs	Price American options using Bjerksund-Stensland 2002 option pricing model
optstocksensbybjs	Determine American option prices and sensitivities using Bjerksund-Stensland 2002 option pricing model

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Nengjiu Ju Approximation Pricing Model

basketbyju	Price European basket options using Nengjiu Ju approximation model
basketsensbyju	Determine European basket options price and sensitivities using Nengjiu Ju approximation model

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Stulz Option Pricing

maxassetbystulz	Determine European rainbow option price on maximum of two risky assets using Stulz option pricing model
maxassetsensbystulz	Determine European rainbow option prices and sensitivities on maximum of two risky assets using Stulz pricing model
minassetbystulz	Determine European rainbow option prices on minimum of two risky assets using Stulz option pricing model
minassetsensbystulz	Determine European rainbow option prices and sensitivities on minimum of two risky assets using Stulz pricing model

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Monte Carlo Simulation for Equity Derivatives

Longstaff-Schwartz Option Pricing Model

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Longstaff-Schwartz Option Pricing Model

basketbyls	Price basket options using Longstaff-Schwartz model
basketsensbyls	Determine price and sensitivities for basket options using Longstaff-Schwartz model
basketstockspec	Specify basket stock structure using Longstaff-Schwartz model

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Controlling Defaults and Options

derivget	Get derivatives pricing options
derivset	Set or modify derivatives pricing options

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Portfolio Handling for Interest and Equity Instruments

instadd	Add types to instrument collection
instaddfield	Add new instruments to instrument collection
instdelete	Complement of instrument set by matching conditions
instdisp	Display instruments
instfields	List field names
instfind	Search instruments for matching conditions
instget	Data from instrument variable
instgetcell	Data and context from instrument variable
instlength	Count instruments
instselect	Create instrument subset by matching conditions
instsetfield	Add or reset data for existing instruments
insttypes	List types

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Financial Object Structures

classfin	Create financial structure or return financial structure class name
isafin	True if input argument is financial structure type or financial object class
stockspec	Create stock structure

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Hedging Portfolios

hedgeopt	Allocate optimal hedge for target costs or sensitivities
hedgeslf	Self-financing hedge

Hedging with Constrained Portfolios

Functions — Alphabetical List

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