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Financial Instruments Toolbox

Key Features

  • Yield curve fitting with bootstrapping and parametric fitting models, and term-structure analysis
  • Black Scholes, Black, Garman-Kohlhagen, Roll-Geske-Whaley, Bjerksund-Stensland, Nengjiu Ju, Stulz, and Longstaff-Schwartz models
  • Fixed-income and equity derivative calculations for price, yield, discount rate, cash-flow schedule, spread, implied volatility, option adjusted spread (OAS), and greeks
  • Tree models: CRR, EQP, LR, ITT, HJM, BDT, BK, and HW
  • Interest-rate instruments: bonds, stepped-coupon bonds, futures, vanilla options, Bermuda options, bonds with embedded options, vanilla swaps, forward swaps, amortizing swaps, swaptions, caps, floors, range notes, floating-rate notes, and collared floating-rate notes
  • Equity instruments: stocks, vanilla options, Bermuda options, Asian options, lookback options, barrier options, digital options, rainbow options, basket options, compound options, and chooser options
  • Credit instruments: mortgage pools, balloon mortgages, and credit default swaps
Tree Viewer plots showing interactive querying of option pricing using trees.
Tree Viewer plots showing interactive querying of option pricing using trees. The left plot shows querying the highlighted path with each time step shown in a table. The right plot shows node prices for the two paths selected.
Next: Yield Curves and Interest-Rate Term Structure

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Calibration and Simulation of Interest Rate Models in MATLAB

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