MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 11)

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Amortizing caps and floors pricing using closed form solutions (Black or

Linear Gaussian two-factor models)

For the Black model, support is available for an enhanced name-value pair argument,

Principal, to pass the schedule to compute the price for amortizing caps (capbyblk) and

floors (floorbyblk). For the Linear Gaussian two-factor model, support is available for an

enhanced name-value pair argument, Notional, to pass the schedule to compute the

price for amortizing caps (capbylg2f) and floors (floorbylg2f).

Asian options pricing example

The example comparing multiple approaches to pricing Asian options is available as

AsianOptionExample.m at \fininst\fininstdemos. For more information, see

Pricing Asian Options.

Numerix CrossAsset Integration Layer (CAIL) 11 example

The example for Numerix

CAIL 11 support is available at \fininst\fininstdemos

\NumerixFileProcessor.m.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 11