17-09-2021

File50487.zip %5bfinancial Instruments Toolbox Matlab

Pricer type, specified as a scalar string or character vector.

. Image Processing Toolbox. Instrument Control Toolbox. LTE System Toolbox. MATLAB Coder. MATLAB Compiler. MATLAB Compiler SDK. MATLAB Report Generator. Mapping Toolbox. Model Predictive Control Toolbox. Model-Based Calibration Toolbox. Neural Network Toolbox. OPC Toolbox. Optimization Toolbox. MFE Toolbox The Oxford MFE Toolbox is the follow on to the UCSDGARCH toolbox. It has been widely used by students here at Oxford, and represents a substantial improvement in robustness over the original UCSD GARCH code, although in its current form it only contains univariate routines. 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.

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These options are available for interest-rate instruments:

  • 'Discount' — For more information, see Discount.

  • 'IRTree' — For more information, see IRTree.

  • 'HullWhite' — For more information, see HullWhite.

  • 'Analytic' — The 'Analytic' pricer can be any one of the following types of pricing methods:

    • SABR — For more information, see SABR.

    • Normal — For more information, see Normal.

    • Black — For more information, see Black.

These options are available for inflation instruments:

  • 'Inflation' — For more information, see Inflation.

These options are available for equity instruments:

  • 'Analytic' — The 'Analytic' pricer can be any one of the following types of pricing methods:

    • BlackScholes — For more information, see BlackScholes.

    • IkedaKunitomo — For more information, see IkedaKunitomo.

    • Heston — For more information, see Heston.

    • Levy — For more information, see Levy.

    • KemnaVorst — For more information, see KemnaVorst.

    • TurnbullWakeman — For more information, see TurnbullWakeman.

    • ConzeViswanathan — For more information, see ConzeViswanathan.

    • GoldmanSosinGatto — For more information, see GoldmanSosinGatto.

    • RollGeskeWhaley — For more information, see RollGeskeWhaley.

    • Kirk — For more information, see Kirk.

    • BjerksundStensland — For more information, see BjerksundStensland.

  • 'AssetTree' — For more information, see AssetTree.

  • 'AssetMonteCarlo' — For more information, see AssetMonteCarlo.

  • 'FiniteDifference' — For more information, see FiniteDifference.

  • 'FFT' — For more information, see FFT.

  • 'NumericalIntegration' — For more information, see NumericalIntegration.

  • 'VannaVolga' — For more information, see VannaVolga.

  • 'ReplicatingVarianceSwap' — For more information, see ReplicatingVarianceSwap.

These options are available for credit derivative instruments:

File50487.zip

  • 'Credit' — For more information, see Credit.

  • 'Analytic' — The 'Analytic' pricer can be any one of the following types of pricing methods:

Data Types: string | char

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: Pricer = finpricer('Black',Name,Value)

Depending on the PricerType, the associated name-value pair arguments are different.

Name-Value Pair Arguments for Interest-Rate Pricers

  • IRTree — For more information, see .

  • Black — For more information, see .

  • HullWhite — For more information, see .

  • Normal — For more information, see .

  • Sabr — For more information, see .

  • Discount — For more information, see .

Name-Value Pair Arguments for Inflation Pricers

File50487.zip 5bfinancial Instruments Toolbox Matlab Software

Name-Value Pair Arguments for Equity Pricers

  • Levy — For more information, see .

  • KemnaVorst — For more information, see .

  • TurnbullWakeman — For more information, see .

  • BlackScholes — For more information, see .

  • IkedaKunitomo — For more information, see .

  • Heston — For more information, see .

  • ConzeViswanathan — For more information, see .

  • GoldmanSosinGatto — For more information, see .

  • RollGeskeWhaley — For more information, see .

  • Kirk — For more information, see .

  • BjerksundStensland — For more information, see .

  • AssetMonteCarlo — For more information, see .

  • AssetTree — For more information, see .

  • FiniteDifference — For more information, see .

  • FFT — For more information, see .

  • NumericalIntegration — For more information, see .

  • VannaVolga — For more information, see .

  • ReplicatingVarianceSwap — For more information, see .

File50487.zip 5bfinancial Instruments Toolbox Matlab Free

Name-Value Pair Arguments for Credit Derivative Pricers

  • Credit — For more information, see .

  • CDSBlack — For more information, see .

Design, price, and hedge complex financial instruments

Financial Instruments Toolbox™ provides functions for pricing, modeling, hedging, and analyzing cash flows, fixed-income securities, and derivative instruments (including equity, interest-rate, credit, and energy instruments). For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models. You can also connect to Numerix® CrossAsset Integration Layer for the valuation and risk management of fixed-income securities, OTC derivatives, structured products, and variable annuity products.

Get Started

Learn the basics of Financial Instruments Toolbox

Yield Curves

Bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data

Interest-Rate Instruments

Interest-rate instruments price, sensitivities, andterm structure

Equity Derivatives

File50487.zip 5bfinancial Instruments Toolbox Matlab Download

Equity options price and sensitivities

Energy Derivatives

Energy options price and sensitivities

Credit Derivatives and Credit Exposures

Credit default swap pricing and default probability curve, counterparty credit risk exposures

File50487.zip 5bfinancial Instruments Toolbox Matlab Manual

Mortgage-Backed Securities

Mortgage pass-through cash flows, CMO instrument pricing

Numerix Interface

Numerix instruments and risk models using Numerix CROSSASSET

Price Instruments Using Modular Objects

Price interest-rate, equity, commodity, foreign exchange, or credit derivative instruments using a streamlined workflow