MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 20)

R2013b

4-4

Function Purpose

optstockbyls Price European, Bermudan, or American vanilla options using

the Longstaff-Schwartz model.

optstocksensbyls Calculate European, Bermudan, or American vanilla option

prices and sensitivities using the Longstaff-Schwartz model.

Hedging strategies using spread options example

New example for Hedging Strategies Using Spread Options.

Pricing European and American spread options example

New example for Pricing European and American Spread Options.

First-to-default (FTD) swaps example

New example for First-to-Default Swaps.

New function for risky present value of a basis point

cdsrpv01 computes risky present value of a basis point (RPV01) for a credit default swap

(CDS) and conforms to the industry standards (ISDA CDS Standard Model).

Compatibility Considerations

Compared with the previous version of Financial Instruments Toolbox™, there are minor

changes in the values computed by cdsbootstrap, cdsspread, cdsprice, and cdsoptprice

when the starting dates do not fall on a payment date. The affected output arguments

are as follows:

• cdsbootstrap: ProbData, HazData

• cdsspread: Spread

• cdsprice: Price

• cdsoptprice: Payer, Receiver

While the magnitudes of the value changes are very small, they might affect users

who depend on exact matches to previous values. These changes are caused by the

1 2 ... 15 16 17 18 19 20 21 22 23 24 25 ... 29 30

Brak uwag

MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 20