MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 28)

R2012b

6-2

Merge of Fixed-Income Toolbox and Financial Derivatives Toolbox to

Financial Instruments Toolbox

Fixed-Income Toolbox™ and Financial Derivatives Toolbox™ are merged into the new

product Financial Instruments Toolbox.

Cap and floor floating-rate note pricing using trees

Support for pricing capped, collared, and floored floating-rate notes using the CapRate

and FloorRate arguments.

Function Purpose

floatbybdt Price a capped floating-rate note using a Black-Derman-Toy

interest-rate tree.

floatbyhjm Price a capped floating-rate note using a Heath-Jarrow-Morton

interest-rate tree.

floatbyhw Price a capped floating-rate note using a Hull-White interest-

rate tree.

floatbybk Price a capped floating-rate note using a Black-Karasinski

interest-rate tree.

instfloat Create a capped floating-rate note instrument.

instadd Add capped floating-rate note instruments to a portfolio.

Forward-swap pricing using trees or term structure

Support for interest-rate forward swaps using the new StartDate argument to define

the future date for the swap instrument.

Function Purpose

swapbyzero Price a bond using a set of zero curves.

swapbybdt Price a forward swap using a Black-Derman-Toy interest-rate

tree.

swapbyhjm Price a forward swap using a Heath-Jarrow-Morton interest-

rate tree.

swapbyhw Price a forward swap using a Hull-White interest-rate tree.

1 2 ... 23 24 25 26 27 28 29 30

Brak uwag

MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 28