Interest-Rate-Based Derivatives

The toolbox provides functionality that supports the creation and management of these interest-rate-based instruments:

• Bonds

• Bond options (puts and calls)

• Bond with embedded options

• Caps

• Convertible bonds

• Fixed-rate notes

• Floating-rate notes

• Floors

• Swaps

• Swaption

Additionally, the toolbox provides functions to create arbitrary cash flow instruments. The toolbox provides pricing and sensitivity routines for these instruments. For more information, see Pricing Using Interest-Rate Term Structure,Pricing Using Interest-Rate Tree Models, and Interest-Rate Derivatives Using Closed-Form Solutions.