Financial Instruments Toolbox

New Features

R2014b (Version 2.0)

Released: 2 Oct 2014

Version 2.0, part of Release 2014b, includes the following enhancements:

  • Pricing functionality for forward options
  • Amortizing caps and floors pricing using lattice models​
  • ​Power price simulation example
  • Hull-White single-factor model calibration using volatility surface
  • SABR option greeks computation

See the Release Notes for details.

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Previous Releases

R2014a (Version 1.3) - 6 Mar 2014

Version 1.3, part of Release 2014a, includes the following enhancements:

  • Dual curve construction
  • Dual curve pricing of caps, floors, and swaptions using the Black model
  • Monte Carlo and analytical pricing of lookback options
  • Implied Black volatility computation for the SABR stochastic volatility model
  • User-specified simulation paths for Longstaff-Schwartz pricing functions
  • creditexposures function to compute credit exposures from mark-to-market OTC contract values
  • exposureprofiles function to derive credit exposure profiles from credit exposures
  • Enhanced pricing functions for instruments and portfolios with cash flows between tree levels
  • Swing option pricing example

See the Release Notes for details.

R2013b (Version 1.2) - 5 Sep 2013

Version 1.2, part of Release 2013b, includes the following enhancements:

  • Support for Numerix CrossAsset Integration Layer (CAIL) API
  • Kirk's approximation and Bjerksund-Stensland closed-form pricing models for spread options
  • Finite difference and Monte Carlo simulation pricing for American spread options
  • Levy and Kemna-Vorst closed-form pricing and Monte Carlo simulation pricing for Asian options
  • Additional CDS option pricing functionality for index swaptions

See the Release Notes for details.

R2013a (Version 1.1) - 7 Mar 2013

Version 1.1, part of Release 2013a, includes the following enhancements:

  • Pricing functions for options on floating-rate notes (FRNs)
  • Pricing functions for FRNs with embedded options
  • Performance enhancements in implied volatility calculations
  • Calibration and Monte Carlo simulation of single-factor and multifactor interest-rate models, including Hull-White, Linear Gaussian, and LIBOR Market Models

See the Release Notes for details.