MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 8)

R2015a

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Price convertible bonds using CRR and EQP lattice models

cbondbycrr and cbondbyeqp calculate the price of convertible bonds using the

Tsiveriotis and Fernandes model. instcbond is the constructor for the CBond

instrument type

The following modified functions support the new convertible bond (CBond) instrument:

• instadd

• instdisp

• crrprice

• eqpprice

• crrsens

• eqpsens

Collateral-level computation from credit exposure simulations

creditexposures is enhanced to support computing exposures for counterparties under

collateral agreements.

Wrong-way risk example

The example for modeling wrong-way risk for counterparty credit risk using a Gaussian

copula is available as Example_WrongWayRisk.m at \finist\fininstdemos. For

more information, see “Wrong Way Risk with Copulas”.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 8