Fixed-Income Toolbox 2.2

Latest Features

Version 2.2

Released: 1 Sep 2011
 

Version 2.2, part of Release 2011b, includes the following enhancements:

• Diebold Li model for yield curve demo
• Prepayment modeling for mortgage-backed securities demo

See the Release Notes for details.

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Version 2.1

Released: 8 Apr 2011
 

Version 2.1, part of Release 2011a, includes the following enhancements:

• Convertible bond pricing updated to include put features, variable-rate coupons, continuous dividend yields, and no exercise periods
• Single-name credit default swap (CDS) options

See the Release Notes for details.

Version 2.0

Released: 3 Sep 2010
 

Version 2.0, part of Release 2010b, includes the following enhancements:

• Support for Credit Default Swap pricing, marking-to-market, and default probability term structure estimation
• Expanded support for Option Adjusted Spread and effective duration
• Enhanced support for bootstrapping swap curves using the IRDataCurve object

See the Release Notes for details.

Version 1.9

Released: 5 Mar 2010
 

Version 1.9, part of Release 2010a, includes the following enhancements:

• New demo for pricing and analysis of inflation-indexed instruments

See the Release Notes for details.

Version 1.8

Released: 4 Sep 2009
 

Version 1.8, part of Release 2009b, includes the following enhancements:

• Business/252 day-count convention
• New functionality for bond futures price, yield, and duration calculations

See the Release Notes for details.