Financial Derivatives Toolbox 5.8

Latest Features

Version 5.8

Released: 1 Sep 2011
 

Version 5.8, part of Release 2011b, includes the following enhancements:

• Pricing and sensitivity for step-up and step-down coupon bonds with callable/puttable features
• Pricing and sensitivity for bonds with sinking fund provisions
• Pricing and sensitivity for range bonds

See the Release Notes for details.

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Version 5.7

Released: 8 Apr 2011
 

Version 5.7, part of Release 2011a, includes the following enhancements:

• Interest-rate tree model in option adjusted spreads (OAS) for callable and putable bonds
• Generalized Hull-White algorithm for interest-rate tree models

See the Release Notes for details.

Version 5.6

Released: 3 Sep 2010
 

Version 5.6, part of Release 2010b, includes the following enhancements:

• Support for Leisen-Reimer binomial trees, enabling modeling of equity options using fewer steps with minimal oscillating behavior

See the Release Notes for details.

Version 5.5.1

Released: 5 Mar 2010
 

Version 5.5.1, part of Release 2010a, includes bug fixes.

See the Release Notes for details.

Version 5.5

Released: 4 Sep 2009
 

Version 5.5, part of Release 2009b, includes the following enhancements:

• Support for basket options using Monte Carlo methods
• Business/252 day-count convention

See the Release Notes for details.