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.
This example demonstrates how to use treeviewer to examine tree information for a Hull-White tree when you price a Europrean callable bond.
Financial Instruments Toolbox class structure supports interest-rate curve objects.
This example demonstrates analyzing German Euro-Bund futures traded on Eurex.
Use the instadd function to create an instrument
portfolio or to add new instruments to an existing portfolio using
functions.
You can create instruments and manage a collection of instruments as a portfolio using functions.
Generic fixed-rate mortgage pools and balloon mortgages have pass-through certificates (PC) that typically have embedded call options in the form of prepayment.
Use objects to model and price financial instruments.
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