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.
Learn the basics of Financial Instruments Toolbox
Bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data
Interest-rate instruments price, sensitivities, and term structure
Equity options price and sensitivities
Energy options price and sensitivities
Credit default swap pricing and default probability curve, counterparty credit risk exposures
Mortgage pass-through cash flows, CMO instrument pricing
Numerix instruments and risk models using Numerix CROSSASSET
Price interest-rate, equity, commodity, foreign exchange, or credit derivative instruments using a streamlined workflow