Financial Instruments Toolbox
Design, price, and hedge complex financial instruments
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Financial Instruments Toolbox provides functionality for pricing, modeling, hedging, and managing an instrument portfolio. You can analyze cash flows for fixed-income securities and derivative instruments including interest-rate, inflation, equity, commodity, credit, and energy instruments. The toolbox provides a modular framework that supports a wide range of workflows and enables you to price instruments with a variety of models and pricing methods.
Curve Models
Analyze or bootstrap interest-rate curves from market data using ratecurve. Estimate parameters for yield curve models using a parametercurve object.
Interest-Rate Instruments
Price, compute sensitivity, and perform hedging analysis for interest-rate securities. Price bonds, floating-rate notes, swaps, swaptions, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and closed-form solutions.
Inflation Instruments
Build an inflation curve, calculate index values, and price inflation bonds, Year-on-Year Inflation-Indexed Swaps, and Zero-Coupon Inflation Swaps.
Equity, FX, Commodity, or Energy Instruments
Price Vanilla and exotic options with Black-Scholes and stochastic volatility models using Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.
Credit Derivative Instruments
Price credit default swaps and credit default swap options. Compute the default probability and hazard rate values from market data. Price credit instruments using a default probability curve.
Instrument Portfolios
Define portfolios of heterogenous assets and then calculate the price and sensitivities of all instruments in the portfolio.
Product Resources:
“Object-oriented programming in MATLAB enabled us to write less error-prone code, define reusable interfaces, and make rapid updates. As a result, we can give our investors better insight into how we manage our funds and how we look at markets.”
Financial Instruments Toolbox FAQs
Financial Instruments Toolbox provides functionality for pricing, modeling, hedging, and managing an instrument portfolio, including fixed-income securities and derivative instruments such as interest-rate, inflation, equity, commodity, credit, and energy instruments.
You can analyze interest-rate securities (bonds, floating-rate notes, swaps, swaptions, caps, floors), inflation instruments (inflation bonds, Year-on-Year Inflation-Indexed Swaps, Zero-Coupon Inflation Swaps), equity and exotic options, FX and commodity instruments, and credit derivatives like credit default swaps.
Available pricing methods include closed-form solutions, lattice methods, finite difference methods, numerical integration, fast Fourier transform (FFT) methods, and Monte Carlo simulation.
The toolbox supports models including Black-Karasinski, Black-Derman-Toy, Cox-Ingersoll-Ross, Hull-White, SABR, Linear Gaussian 2F, Black-Scholes, Black, SABR Brace-Gatarek-Musiela, Normal, CMS Convexity Hull, Dupire, Bachelier, Brace-Gatarek-Musiela, Heston, Bates, Jarrow-Yildirim, Rough-Bergomi, Merton, and Rough-Heston.
Yes, the toolbox lets you bootstrap curves from market data and fit Nelson-Siegel and Svensson curves from bond data for further curve analysis.
Yes, you can define portfolios of heterogeneous assets and calculate the price and sensitivities of all instruments in the portfolio.
You can price credit default swaps and credit default swap options, compute default probability and hazard rate values from market data, and price credit instruments using a default probability curve.
You can build an inflation curve, calculate index values, and price inflation bonds, Year-on-Year Inflation-Indexed Swaps, and Zero-Coupon Inflation Swaps with seasonal pattern analysis.
Yes, MATLAB with Financial Instruments Toolbox enables financial professionals to design, price, and hedge complex financial instruments using a modular framework that supports a wide range of workflows and pricing methods.
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