MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 29)

6-3

Function Purpose

swapbybk Price a forward swap using a Black-Karasinski interest-rate

tree.

instswap Create a forward swap instrument.

instadd Add forward swap instruments to a portfolio.

Functions for fitting and extracting calibrated parameters from

IRFunctionCurve objects

New enhancements for IRFunctionCurve object, including the ability to get calibrated

parameters, the ability to specify linear inequality parameter constraints, and support

for curve type in fitSmoothingSpline to be forward, zero, and discount.

LIBOR market model example

New example for mortgage prepayment that uses a LIBOR market model to generate

interest-rate evolutions. For more information, see Prepayment Modeling with a Two

Factor Hull White Model and a LIBOR Market Model.

Counterparty credit risk example

New example for computing the unilateral Credit Value (Valuation) Adjustment (CVA)

for a bank holding a portfolio of vanilla interest-rate swaps with several counterparties.

For more information, see Counterparty Credit Risk and CVA.

Conversion of error and warning message identifiers

For R2012b, error and warning message identifiers have changed in Financial

Instruments Toolbox.

Compatibility Considerations

If you have scripts or functions that use message identifiers that changed, you must

update the code to use the new identifiers. Typically, message identifiers are used to turn

off specific warning messages, or in code that uses a try/catch statement and performs

an action based on a specific error identifier.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 29