Version 2.0 (R2010b) Fixed-Income Toolbox Software

This table summarizes what's new in Version 2.0 (R2010b):

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems
Yes Details below	No	Bug Reports Includes fixes

New feature and changes introduced in this version are:

• Support for Agency Option Adjusted Spread and Effective Duration Calculations

• Support for Credit Default Swaps

• Enhanced Support for Bootstrapping Swap Curves Using IRDataCurve

Support for Agency Option Adjusted Spread and Effective Duration Calculations

Expanded support for Agency Option Adjusted Spread (AOAS) and effective duration (for all security types):

Function	Purpose
agencyoas	Compute the OAS of a callable bond using the Agency OAS model.
agencyprice	Price a callable bond OAS using the Agency OAS model.

For more information, see Agency Option-Adjusted Spreads.

Support for Credit Default Swaps

Support for credit default swap (CDS) pricing, marking to market, and default probability term structure estimation:

Function	Purpose
cdsbootstrap	Bootstrap the default probability curve from CDS market quotes.
cdsspread	Compute the spread for a CDS contract.
cdsprice	Compute the price for a CDS contract.

For more information, see Credit Derivatives.

Enhanced Support for Bootstrapping Swap Curves Using IRDataCurve

Enhanced support for bootstrapping swap curves, including new options for input instruments. The bootstrap method of IRDataCurve now allows a discount curve to be used, in addition to a forward or zero curve.

Version 2.1 (R2011a) Fixed-Income Toolbox Software

Version 1.9 (R2010a) Fixed-Income Toolbox Software

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