Financial Toolbox

Analyze financial data and develop financial models

Financial Toolbox™ provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments, optionally taking into account turnover and transaction costs. The toolbox enables you to estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment performance. Time series analysis functions and an app let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.

Data Preprocessing

Financial market data for dates and currencies

Financial Time Series

Time series, date transformations and merges, chart technical indicators

Financial Data Analytics

Cash flows and performance metrics, regression analysis, financial data charting

Portfolio Optimization and Asset Allocation

Create portfolios, evaluate composition of assets, perform mean-variance, CVaR, or mean absolute-deviation portfolio optimization

Credit Risk

Credit risk, transition probabilities for credit ratings, credit quality thresholds, credit scorecards

Price and Analyze Financial Instruments

Yield curves, valuation for fixed-income securities, equity derivatives pricing

Stochastic Differential Equation (SDE) Models

Parametric models, such as Geometric Brownian Motion (GBM) and Heston Volatility