MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 14)

R2014a

3-2

Dual curve construction

Support for bootstrapping an interest rate curve using a different curve for discounting

the cash flows with the following enhancements:

• bootstrap accepts a new optional input argument for DiscountCurve.

• bootstrap accepts a new bootstrapping instrument type called FRA for a forward rate

agreement instrument.

For more information on using bootstrap for dual curve construction, see the example:

Dual Curve Bootstrapping.

Dual curve pricing of caps, floors, and swaptions using the Black model

capbyblk, floorbyblk, and swaptionbyblk accept an optional input argument for

ProjectionCurve.

Dual curve pricing of swaps and floating-rate notes

swapbyzero and floatbyzero have new examples to demonstrate pricing a swap and a

floating-rate note with two curves.

Monte Carlo and analytical pricing of lookback options

Support for lookback options using closed-form solutions or Monte Carlo simulations.

Function Purpose

lookbackbycvgsg Calculate prices of European lookback fixed- and floating-

strike options using the Conze-Viswanathan and Goldman-

Sosin-Gatto models.

lookbacksensbycvgsg Calculate prices and sensitivities of European fixed- and

floating-strike lookback options using the Conze-Viswanathan

and Goldman-Sosin-Gatto models.

lookbackbyls Calculate prices of lookback fixed- and floating-strike options

using the Longstaff-Schwartz model.

lookbacksensbyls Calculate prices and sensitivities of lookback fixed- and

floating-strike options using the Longstaff-Schwartz model.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 14