Financial Derivatives Toolbox™ 5.2

Latest Features

Version 5.2

Released: 01 Mar 2008
 

Version 5.2, part of Release 2008a, includes the following enhancements:

• Support for actual/365 (ISDA)
• Support for pricing callable and puttable bonds

See the Release Notes for details.

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Version 5.1

Released: 01 Sep 2007
 

Version 5.1, part of Release 2007b, includes the following enhancements:

• New support for pricing and sensitivity computations of swaptions
• Support for 30/360 (ISMA) basis as a variant of 30/360E with annual compounding

See the Release Notes for details.

Version 5.0

Released: 01 Mar 2007
 

Version 5.0, part of Release 2007a, includes the following enhancements:

• Support for pricing and sensitivity computations using trinomial and implied trinomial trees
• Support for financial derivatives computations using International Securities Market Association (ISMA) basis

See the Release Notes for details.

Version 4.1

Released: 01 Sep 2006
 
Version 4.1, part of Release 2006b, includes bug fixes.

See the Release Notes for details.

Version 4.0.1

Released: 01 Mar 2006
 

Version 4.0.1, part of Release 2006a, includes minor enhancements. See the Release Notes for details.

Version 4.0

Released: 01 Sep 2005
 

• Support for Black-Karasinski (BK) and Hull-White (HW) interest rate models
• Support for recombining trinomial trees, used in conjunction with the BK and HW models
• Enhanced treeviewer function

See the Release Notes for details.

Version 3.0.1

Released: 22 Sep 2004
 

Version 3.0.1 includes bug fixes.

Version 3.0

Released: 02 Jun 2004
 

The Financial Derivatives Toolbox extends the Financial Toolbox with components to analyze fixed-income and equity derivatives and portfolios. It enables you to calculate prices and sensitivities of derivatives, perform hedging analyses, and visualize the results. New features include:

• Cox-Ross-Rubinstein and Equal Probability models for computing the prices and dollar sensitivities of exotic equity options, including Bermuda, compound, barrier, Asian, and lookback