Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Interest-Rate Instruments

Interest-rate instruments price, sensitivities, and term structure

An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. This toolbox provides functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions.

Featured Examples

Was this topic helpful?