Financial Derivatives Toolbox

Introduction

Financial Derivatives Toolbox extends Financial Toolbox with tools for analyzing and modeling equity and fixed-income derivatives and securities contingent on interest rates. You can use the toolbox to compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods.

Key Features

• Computes prices and sensitivities of vanilla and exotic equity options using the CRR, EQP, or ITT model
• Calculates the prices of any set of supported instruments based on an interest-rate structure
• Computes prices and sensitivities of fixed-income instruments using the HJM, BDT, BK, or HW model
• Provides strategies for minimizing the cost of hedging a portfolio given a set of target sensitivities, and minimizing portfolio sensitivities given maximum target costs