MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika

Financial Instruments Toolbox™ Release Notes

R2014b2-2Pricing functionality for forward optionsSupport is provided for pricing forward options using a modified Black approximationmodel with optst

2-3Amortizing caps and floors pricing using closed form solutions (Black orLinear Gaussian two-factor models)For the Black model, support is availabl

R2014aVersion: 1.3New FeaturesBug Fixes

R2014a3-2Dual curve constructionSupport for bootstrapping an interest rate curve using a different curve for discountingthe cash flows with the follow

3-3Implied Black volatility computation for the SABR stochastic volatilitymodelSupport for blackvolbysabr to calibrate the SABR model parameters and

R2013bVersion: 1.2New FeaturesCompatibility Considerations

R2013b4-2Support for Numerix CrossAsset Integration Layer (CAIL) APISupport for accessing Numerix instruments and risk models.Class Purposenumerix Cre

4-3Function Purposespreadsensbyfd Calculate price and sensitivities of European or Americanspread options using the Alternate Direction Implicit (ADI

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R2013b4-4Function Purposeoptstockbyls Price European, Bermudan, or American vanilla options usingthe Longstaff-Schwartz model.optstocksensbyls Calcula

4-5modification of the way risky present value of a basis point (RPV01) is computed andthese changes were made to better reflect the industry practic

R2013aVersion: 1.1New Features

R2013a5-2Pricing functions for options on floating-rate notes (FRNs)Support for pricing a floating-rate note instrument with an option using tree mode

5-3Calibration and Monte Carlo simulation of single-factor and multifactorinterest-rate models, including Hull-White, Linear Gaussian, and LIBORMarke

R2012bVersion: 1.0New FeaturesCompatibility Considerations

R2012b6-2Merge of Fixed-Income Toolbox and Financial Derivatives Toolbox toFinancial Instruments ToolboxFixed-Income Toolbox™ and Financial Derivative

6-3Function Purposeswapbybk Price a forward swap using a Black-Karasinski interest-ratetree.instswap Create a forward swap instrument.instadd Add for

iiiContentsR2015a Price convertible bonds using CRR and EQP latticemodels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

R2012b6-4For example, because Fixed-Income Toolbox and Financial Derivatives Toolbox mergedto become Financial Instruments Toolbox, the finfixed and f

iv ContentsR2014a Dual curve construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-2Dual curve pricing of caps, floors, and swapt

vFinite difference and Monte Carlo simulation pricing forAmerican spread options . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-2Levy and Kem

vi ContentsR2012b Merge of Fixed-Income Toolbox and Financial DerivativesToolbox to Financial Instruments Toolbox . . . . . . . . . . . . 6-2Cap and f

R2015aVersion: 2.1New FeaturesBug Fixes

R2015a1-2Price convertible bonds using CRR and EQP lattice modelscbondbycrr and cbondbyeqp calculate the price of convertible bonds using theTsiveriot

R2014bVersion: 2.0New FeaturesBug Fixes