Financial Instruments Toolbox


Financial Instruments Toolbox

Design, price, and hedge complex financial instruments

Financial Instruments Toolbox provides functions for pricing, modeling, and analyzing fixed-income, credit, and equity instrument portfolios. You can use the toolbox to perform cash-flow modeling and yield curve fitting analysis, compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods. The toolbox lets you create new financial instrument types, fit yield curves to market data using parametric fitting models and bootstrapping, and construct dual curve based pricing models.

You can price and analyze fixed-income and equity instruments. For fixed-income modeling, you can calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For equities, you can compute price, implied volatility, and greek values of vanilla options and several exotic derivatives.

Financial Instruments Toolbox contains functions to model counterparty credit risk and CVA exposure. For credit derivatives, the toolbox includes credit default swap pricing and default probability curve modeling functions. For energy derivatives, you can model exotic and vanilla options. The toolbox also provides connectivity to Numerix® CrossAsset Integration Layer.


Interest Rate Instruments

Model term structures and price interest rate instruments.

Yield Curve and Interest Rate Term Structure

Fit yield curves to market data using several approaches, including the bootstrap method, parametric models (such as Nelson-Siegel, Svensson, and smoothing spline), and custom functions.

Instantaneous forward curve.


Calculate price and sensitivity of fixed-income securities, swaps, and forward swaps, as well as for fixed-income instruments with options/embedded options and common interest rate options (including bond options, floating-rate note options, caps, floors, and swaptions) using a variety of pricing methods and models.

Tree Viewer plots.

Models and Methods

Supported models include Black, Normal (Bachelier), SABR and Shifted SABR, Hull-White, Black-Derman-Toy, Black-Karasinski, CIR, HJM, Linear Gaussian Two Factor, and LIBOR Market Models. Supported methods include closed-form, binomial and trinomial trees, and Monte Carlo simulation.

Shifted Black volatility.

Equity and Energy Instruments

Use a variety of methods to calculate price and sensitivity for vanilla and exotic options.


Price plain-vanilla options, including European, American, and Bermuda options. Price exotic options, including Asian, barrier, basket, digital, forward/futures, rainbow, and spread options.

Call options price sensitivity.


Supported models include geometric Brownian motion, Merton76 jump diffusion, Bates and Heston stochastic volatility models, and the local volatility model.

European call prices based on different pricing models.


Supported methods includes closed-form, tree models, Monte Carlo simulation, and finite difference.

Pricing swing options using the Longstaff-Schwartz method.

Credit and Mortgage Instruments

Calculate price and sensitivity for credit and mortgage instruments such as credit default swaps (CDS), mortgage-backed securities (MBS), and collateralized mortgage obligations (CMO).

CDS and CDS Options

Perform common CDS and CDS option valuations, calculate the breakeven spreads, and find the mark-to-market value of new and existing CDS contracts.

CDS option pricing.

Mortgage-Backed Securities (MBS), Mortgage Pools, and Collateralized Mortgage Obligations (CMO)

Calculate price and risk factors for MBS, mortgage-pool portfolios, and CMO. Supported schemes for prepayment tranches of CMO are sequential tranching and schedule bond tranching for planned amortization class (PAC) or targeted amortization class (TAC) bonds.

Mortgage pool monthly cash flows and mortgage balances for two conditional payment rates.

Counterparty Credit Risk of Financial Instruments

Calculate credit value adjustments (CVA) and wrong way risk using MATLAB examples.

Credit Value Adjustment (CVA)

Compute credit exposures and CVA for each counterparty in an over-the-counter (OTC) contract.

Discounted expected counterparty credit exposure.

Wrong Way Risk

Use copulas to generate correlated exposure-default scenario pairs and then estimate the credit exposure based on these scenarios.

Correlated exposure-credit scenarios.

Latest Features

Normal SABR Model

Support the computation of Normal (Bachelier) volatility for cap or floor volatility stripping

Finite-Difference Methods

Compute prices and sensitivities of double barrier options using Alternating Direction Implicit (ADI) and Crank-Nicolson methods

Monte Carlo Simulation

Compute prices and sensitivities of double barrier options using Black-Scholes option pricing model

Vanilla European Options

Compute prices and sensitivities using Bates and Merton76 models with finite differences

See release notes for details on any of these features and corresponding functions.

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