Financial Instruments Toolbox. User's Guide

• Publisher: MathWorks
• Year: 2023
• Tongue: English
• Leaves: 4188
• Category: Library

✦ Table of Contents

Getting Started
Financial Instruments Toolbox Product Description
Interest-Rate-Based Derivatives
Equity-Based Derivatives
Expected Users
Portfolio Creation Using Functions
Introduction
Interest-Rate-Based Derivatives
Equity Derivatives
Adding Instruments to an Existing Portfolio Using Functions
Pricing a Portfolio Using the Black-Derman-Toy Model
Instrument Construction and Portfolio Management Using Functions
Instrument Constructors
Creating Instruments or Properties
Searching or Subsetting a Portfolio
Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Workflow to Price an Interest-Rate Instrument
Price Vanilla Fixed Bond Instrument Using ratecurve and Discount Pricer
Workflow to Price an Inflation Instrument
Analyze Inflation-Indexed Instruments
Workflow to Price an Equity, Commodity, or FX Instrument
Price Vanilla Instrument Using Black-Scholes Model and Black-Scholes Pricer
Workflow to Price a Credit Derivative Instrument
Price CDS Instrument Using Default Probability Curve and Credit Pricer
Workflow to Create and Price a Portfolio of Instruments
Create and Price Portfolio of Instruments
Workflow for Creating and Analyzing a ratecurve and parametercurve
Convert RateSpec to a ratecurve Object
Workflow for Creating and Analyzing a defprobcurve
Choose Instruments, Models, and Pricers
Interest-Rate Instruments with Associated Models and Pricers
Equity, Commodity, FX, and Energy Instruments with Associated Models and Pricers
Inflation Instruments with Associated Models and Pricers
Credit Derivative Instruments with Associated Models and Pricers
Supported Exercise Styles
Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers
Mapping Financial Instruments Toolbox Functions for Interest-Rate Instrument Objects
Mapping Financial Instruments Toolbox Functions for Equity, Commodity, FX Instrument Objects
Mapping Financial Instruments Toolbox Functions for Credit Derivative Instrument Objects
Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework
Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers
Price Weather Derivatives
Interest-Rate Derivatives
Supported Interest-Rate Instrument Functions
Bond
Convertible Bond
Stepped Coupon Bonds
Sinking Fund Bonds
Bonds with an Amortization Schedule
Bond Options
Bond with Embedded Options
Stepped Coupon Bonds with Calls and Puts
Sinking Fund Bonds with an Embedded Option
Amortizing Callable or Puttable Bond
Fixed-Rate Note
Floating-Rate Note
Floating-Rate Note with an Amortization Schedule
Floating-Rate Note with Caps, Collars, and Floors
Floating-Rate Note Options
Floating-Rate Note with Embedded Options
Cap
Floor
Range Note
Swap
Swap with an Amortization Schedule
Forward Swap
Swaption
Bond Futures
Work with Negative Interest Rates Using Functions
Interest-Rate Modeling Options for Negative Rates
Modeling Negative Rates
Work with Negative Interest Rates Using Objects
Interest-Rate Modeling Options for Negative Rates
Modeling Negative Rates
Price Swaptions with Negative Strikes Using the Shifted SABR Model
Calibrate the SABR Model
Load Market Implied Black Volatility Data
Method 1: Calibrate Alpha, Rho, and Nu Directly
Method 2: Calibrate Rho and Nu by Implying Alpha from At-The-Money Volatility
Use the Calibrated Models
References
Price a Swaption Using the SABR Model
Overview of Interest-Rate Tree Models
Interest-Rate Modeling
Rate and Price Trees
Viewing Rate or Price Movement
Understanding the Interest-Rate Term Structure
Introduction
Interest Rates Versus Discount Factors
Interest-Rate Term Conversions
Spot Curve to Forward Curve Conversion
Alternative Syntax (ratetimes)
Modeling the Interest-Rate Term Structure
Creating or Modifying (intenvset)
Obtaining Specific Properties (intenvget)
Pricing Using Interest-Rate Term Structure
Introduction
Computing Instrument Prices
Computing Instrument Sensitivities
OAS for Callable and Puttable Bonds
Agency OAS
Understanding Interest-Rate Tree Models
Introduction
Building a Tree of Forward Rates
Specifying the Volatility Model (VolSpec)
Specifying the Interest-Rate Term Structure (RateSpec)
Specifying the Time Structure (TimeSpec)
Creating Trees
Examining Trees
Pricing Using Interest-Rate Tree Models
Introduction
Computing Instrument Prices
Computing Instrument Sensitivities
HJM Sensitivities Example
BDT Sensitivities Example
Calibrating Hull-White Model Using Market Data
Hull-White Model Calibration Example
Interest-Rate Derivatives Using Closed-Form Solutions
Pricing Caps and Floors Using the Black Option Model
Price Swaptions with Interest-Rate Models Using Simulation
Introduction
Construct a Zero Curve
Define Swaption Parameters
Compute the Black Model and the Swaption Volatility Matrix
Select Calibration Instruments
Compute Swaption Prices Using Black's Model
Define Simulation Parameters
Simulate Interest-Rate Paths Using the Hull-White One-Factor Model
Simulate Interest-Rate Paths Using the Linear Gaussian Two-Factor Model
Simulate Interest-Rate Paths Using the LIBOR Market Model
Compare Interest-Rate Modeling Results
References
Pricing Bermudan Swaptions with Monte Carlo Simulation
Managing Interest-Rate Risk with Bond Futures
Analyze Inflation-Indexed Instruments
Bootstrapping a Swap Curve
Fitting Interest-Rate Curve Functions
Fitting the Diebold Li Model
Calibrating Caplets Using the Normal (Bachelier) Model
Calibrating Floorlets Using the Normal (Bachelier) Model
Calibrate the SABR Model Using Normal (Bachelier) Volatilities with Negative Strikes
Calibrate Shifted SABR Model Parameters for Swaption Instrument
Price Portfolio of Bond and Bond Option Instruments
Calibrate SABR Model Using Normal (Bachelier) Volatilities with Analytic Pricer
Calibrate SABR Model Using Analytic Pricer
Price a Swaption Using SABR Model and Analytic Pricer
Compute LIBOR Fallback
Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
Select Cheapest-to-Deliver Bond Using BondFuture Instrument
Graphical Representation of Trees
Introduction
Observing Interest Rates
Observing Instrument Prices
Basis
Equity Derivatives
Understanding Equity Trees
Introduction
Building Equity Binary Trees
Building Implied Trinomial Trees
Building Standard Trinomial Trees
Examining Equity Trees
Differences Between CRR and EQP Tree Structures
Supported Equity Derivative Functions
Asian Option
Barrier Option
Double Barrier Option
Basket Option
Chooser Option
Compound Option
Convertible Bond
Lookback Option
Digital Option
Rainbow Option
Vanilla Option
Spread Option
One-Touch and Double One-Touch Options
Forwards Option
Futures Option
Supported Energy Derivative Functions
Asian Option
Barrier Option
Double Barrier Option
Vanilla Option
Spread Option
Lookback Option
Forwards Option
Futures Option
Pricing Swing Options Using the Longstaff-Schwartz Method
Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion
Pricing Equity Derivatives Using Trees
Computing Instrument Prices
Computing Prices Using CRR
Computing Prices Using EQP
Computing Prices Using ITT
Computing Prices Using STT
Examining Output from the Pricing Functions
Graphical Representation of Equity Derivative Trees
Computing Equity Instrument Sensitivities
CRR Sensitivities Example
ITT Sensitivities Example
Equity Derivatives Using Closed-Form Solutions
Introduction
Black-Scholes Model
Black Model
Roll-Geske-Whaley Model
Bjerksund-Stensland 2002 Model
Barone-Adesi-Whaley Model
Pricing Using the Black-Scholes Model
Pricing Using the Black Model
Pricing Using the Roll-Geske-Whaley Model
Pricing Using the Bjerksund-Stensland Model
Compute American Option Prices Using the Barone-Adesi and Whaley Option Pricing Model
Pricing European Call Options Using Different Equity Models
Compute the Option Price on a Future
Pricing European and American Spread Options
Pricing Asian Options
Price Spread Instrument for a Commodity Using Black-Scholes Model and Analytic Pricers
Price Vanilla Instrument Using Heston Model and Multiple Different Pricers
Create and Price Portfolio of Instruments
Use Black-Scholes Model to Price Asian Options with Several Equity Pricers
Calibrate Option Pricing Model Using Heston Model
Use Deep Learning to Approximate Barrier Option Prices with Heston Model
Hedging Portfolios
Hedging
Hedging Functions
Introduction
Hedging with hedgeopt
Self-Financing Hedges with hedgeslf
Pricing and Hedging a Portfolio Using the Black-Karasinski Model
Specifying Constraints with ConSet
Introduction
Setting Constraints
Portfolio Rebalancing
Hedging with Constrained Portfolios
Overview
Example: Fully Hedged Portfolio
Example: Minimize Portfolio Sensitivities
Example: Under-Determined System
Example: Portfolio Constraints with hedgeslf
Hedging Strategies Using Spread Options
Mortgage-Backed Securities
What Are Mortgage-Backed Securities?
Fixed-Rate Mortgage Pool
Introduction
Inputs to Functions
Generating Prepayment Vectors
Mortgage Prepayments
Risk Measurement
Mortgage Pool Valuation
Computing Option-Adjusted Spread
Prepayments with Fewer Than 360 Months Remaining
Pools with Different Numbers of Coupons Remaining
Summary of Prepayment Data Vector Representation
Prepayment Modeling with a Two Factor Hull White Model and a LIBOR Market Model
Pricing Mortgage Backed Securities Using the Black-Derman-Toy Model
Using Collateralized Mortgage Obligations (CMOs)
What Are CMOs?
Prepayment Risk
Sequential Tranches Without a Z-Bond
Sequential Tranches with a Z-Bond
PAC Tranches
TAC Tranches
CMO Workflow
Calculate Underlying Mortgage Cash Flows
Define CMO Tranches
If Using a PAC or TAC CMO, Calculate Principal Schedule
Calculate Cash Flows for Each Tranche
Analyze CMO by Computing Price, Yield, and Spread of CMO Cash Flows
Create PAC and Sequential CMO
Debt Instruments
Agency Option-Adjusted Spreads
Computing the Agency OAS for Bonds
Using Zero-Coupon Bonds
Introduction
Measuring Zero-Coupon Bond Function Quality
Pricing Treasury Notes
Pricing Corporate Bonds
Stepped-Coupon Bonds
Introduction
Cash Flows from Stepped-Coupon Bonds
Price and Yield of Stepped-Coupon Bonds
Term Structure Calculations
Introduction
Computing Spot and Forward Curves
Computing Spreads
Derivative Securities
Interest Rate Swaps
Swap Pricing Assumptions
Swap Pricing Example
Portfolio Hedging
Bond Futures
Analysis of Bond Futures
Calculating Bond Conversion Factors
Calculating Implied Repo Rates to Find the CTD Bond
Pricing Bond Futures Using the Term Implied Repo Rate
Managing Present Value with Bond Futures
Fitting the Diebold Li Model
Credit Derivatives
Counterparty Credit Risk and CVA
First-to-Default Swaps
Credit Default Swap Option
References
Pricing a Single-Name CDS Option
Pricing a CDS Index Option
Wrong Way Risk with Copulas
Bootstrapping a Default Probability Curve from Credit Default Swaps
Bootstrap Default Probability Curve from Market CDS Instruments
Price Multiple CDS Option Instruments Using CDS Black Model and CDS Black Pricer
Interest-Rate Curve Objects
Interest-Rate Curve Objects and Workflow
Class Structure
Workflow Using Interest-Rate Curve Objects
Creating Interest-Rate Curve Objects
Creating an IRDataCurve Object
Use IRDataCurve with Dates and Data
Bootstrap IRDataCurve Based on Market Instruments
Dual Curve Bootstrapping
Creating an IRFunctionCurve Object
Fitting IRFunctionCurve Object Using a Function Handle
Fitting IRFunctionCurve Object Using Nelson-Siegel Method
Fitting IRFunctionCurve Object Using Svensson Method
Fitting IRFunctionCurve Object Using Smoothing Spline Method
Using fitFunction to Create Custom Fitting Function
Fitting Interest-Rate Curve Functions
Converting an IRDataCurve or IRFunctionCurve Object
Introduction
Using the toRateSpec Function
Using Vector of Dates and Data
Numerix Workflows
Working with Simple Numerix Trades
Working with Advanced Numerix Trades
Use Numerix to Price Cash Deposits
Use Numerix for Interest-Rate Risk Assessment
Numerix CROSSASSET Interface Workflow Example Using Matrix, Data, and Call Objects
Functions
Calibrate Pricing Model
asianbycrr
asianbyeqp
asianbyitt
asianbyls
asianbystt
asiansensbyls
asianbykv
asiansensbykv
asianbylevy
asiansensbylevy
asianbyhhm
asiansensbyhhm
asianbytw
asiansensbytw
assetbybls
assetsensbybls
barrierbycrr
barrierbyeqp
barrierbyfd
barriersensbyfd
dblbarrierbyfd
dblbarriersensbyfd
barrierbyls
barriersensbyls
barrierbybls
barriersensbybls
dblbarrierbybls
dblbarriersensbybls
barrierbyitt
barrierbystt
basketbyju
basketbyls
basketsensbyju
basketsensbyls
basketstockspec
bdtprice
bdtsens
bdttimespec
bdttree
bdtvolspec
bkprice
bksens
bktimespec
bktree
bkvolspec
bondbybdt
blackvolbyrebonato
blackvolbysabr
bondbybk
bondbyhjm
bondbyhw
bondbycir
bondbyzero
bushpath
bushshape
capbybdt
capbybk
capbyblk
capbycir
capbyhjm
capbyhw
capbylg2f
capbynormal
capvolstrip
cashbybls
cashsensbybls
cbondbycrr
cbondbyeqp
cbondbyitt
cbondbystt
cfbybdt
cfbybk
cfbycir
cfbyhjm
cfbyhw
cfbyzero
chooserbybls
cirprice
cirsens
classfin
cirtimespec
cirvolspec
cirtree
compoundbycrr
compoundbyeqp
compoundbyitt
compoundbystt
crrprice
crrsens
crrtimespec
crrtree
cvtree
date2time
datedisp
derivget
derivset
disc2rate
eqpprice
eqpsens
eqptimespec
eqptree
fixedbybdt
fixedbybk
fixedbycir
fixedbyhjm
fixedbyhw
fixedbyzero
floatbybdt
floatbybk
floatbycir
floatbyhjm
floatbyhw
floatbyzero
floorbybdt
floorbybk
floorbycir
floorbyblk
floorbyhjm
floorbyhw
floorbylg2f
floorbynormal
floorvolstrip
gapbybls
gapsensbybls
hedgeopt
hedgeslf
hjmprice
hjmsens
hjmtimespec
hjmtree
hjmvolspec
HullWhite1F
simTermStructs
hwcalbycap
hwcalbyfloor
hwprice
hwsens
hwtimespec
hwtree
hwvolspec
impvbybaw
impvbybjs
impvbyblk
impvbybls
impvbyrgw
instadd
instaddfield
instasian
instbarrier
instbond
instcap
instcbond
instcf
instcompound
instdelete
instdisp
instfields
instfind
instfixed
instfloat
instfloor
instget
instgetcell
instlength
instlookback
instoptbnd
instoptembnd
instoptfloat
instoptemfloat
instoptstock
instrangefloat
instselect
instsetfield
instswap
instswaption
insttypes
intenvget
intenvprice
intenvsens
intenvset
isafin
ittprice
ittsens
itttimespec
itttree
LiborMarketModel
simTermStructs
LinearGaussian2F
simTermStructs
lookbackbycrr
lookbackbycvgsg
lookbacksensbycvgsg
lookbackbyeqp
lookbackbyitt
lookbackbyls
lookbacksensbyls
lookbackbystt
lrtimespec
lrtree
maxassetbystulz
maxassetsensbystulz
minassetbystulz
minassetsensbystulz
mkbush
mktree
mktrintree
mmktbybdt
mmktbyhjm
normalvolbysabr
numerix
numerixCrossAsset
numerixCrossAsset.applicationCall
numerixCrossAsset.applicationData
numerixCrossAsset.applicationMatrix
numerixCrossAsset.close
numerixCrossAsset.getdata
numerix.parseResults
oasbybdt
oasbybk
oasbycir
oasbyhjm
oasbyhw
optbndbybdt
optbndbybk
optbndbycir
optbndbyhjm
optbndbyhw
optByBatesFD
optSensByBatesFD
optByBatesFFT
optSensByBatesFFT
optByBatesNI
optSensByBatesNI
optByHestonFD
optSensByHestonFD
optByHestonFFT
optSensByHestonFFT
optByHestonNI
optSensByHestonNI
optByLocalVolFD
optSensByLocalVolFD
optByMertonFD
optSensByMertonFD
optByMertonFFT
optSensByMertonFFT
optByMertonNI
optSensByMertonNI
optembndbybdt
optembndbybk
optembndbycir
optembndbyhjm
optembndbyhw
optemfloatbybdt
optemfloatbybk
optemfloatbycir
optemfloatbyhjm
optemfloatbyhw
optfloatbybdt
optfloatbybk
optfloatbycir
optfloatbyhjm
optfloatbyhw
optsensbysabr
optstockbybaw
optstocksensbybaw
optstockbybjs
optstockbyblk
optstockbybls
optstockbycrr
optstockbyeqp
optstockbyfd
optstocksensbyfd
optstockbyitt
optstockbylr
optstockbyls
optstocksensbyls
optstockbyrgw
optstocksensbybjs
optstocksensbyblk
optstocksensbybls
optstocksensbylr
optstocksensbyrgw
optstockbystt
optpricebysim
rangefloatbybdt
rangefloatbybk
rangefloatbycir
rangefloatbyhjm
rangefloatbyhw
rate2disc
ratetimes
spreadbykirk
spreadbybjs
spreadbyfd
spreadbyls
spreadsensbykirk
spreadsensbybjs
spreadsensbyls
spreadsensbyfd
stockoptspec
stockspec
sttprice
sttsens
stttimespec
stttree
supersharebybls
supersharesensbybls
swapbybdt
swapbybk
swapbycir
swapbyhjm
swapbyhw
swapbyzero
swaptionbybdt
swaptionbybk
swaptionbycir
swaptionbyblk
swaptionbyhjm
swaptionbyhw
swaptionbylg2f
swaptionbynormal
time2date
treepath
treeshape
treeviewer
trintreepath
trintreeshape
agencyoas
agencyprice
bkcall
bkput
bndfutimprepo
bndfutprice
bootstrap
cdsoptprice
cmosched
cmoschedcf
cmoseqcf
convfactor
fitFunction
fitNelsonSiegel
fitSmoothingSpline
fitSvensson
getDiscountFactors
getDiscountFactors
getForwardRates
getForwardRates
getParYields
getParYields
getZeroRates
getZeroRates
IRBootstrapOptions
IRDataCurve
IRFitOptions
IRFunctionCurve
liborduration
liborfloat2fixed
liborprice
mbscfamounts
mbsconvp
mbsconvy
mbsdurp
mbsdury
mbsnoprepay
mbsoas2price
mbsoas2yield
mbspassthrough
mbsprice
mbsprice2oas
mbsprice2speed
mbswal
mbsyield
mbsyield2oas
mbsyield2speed
psaspeed2default
psaspeed2rate
stepcpncfamounts
stepcpnprice
stepcpnyield
tfutbyprice
tfutbyyield
tfutimprepo
tfutpricebyrepo
tfutyieldbyrepo
toRateSpec
toRateSpec
zeroprice
zeroyield
touchbybls
touchsensbybls
dbltouchbybls
dbltouchsensbybls
fininstrument
finmodel
finpricer
irbootstrap
fitNelsonSiegel
price
price
price
price
price
oas
price
price
price
price
price
price
price
price
pricePortfolio
addInstrument
removeInstrument
setPricer
cashflows
cashsettle
fairdelivery
setCallExercisePolicy
setPutExercisePolicy
setExercisePolicy
parswaprate
volatilities
fitSvensson
discountfactors
forwardrates
zerorates
discountfactors
forwardrates
zerorates
finportfolio
ratecurve
inflationcurve
indexvalues
inflationbuild
price
inflationCashflows
inflationCashflows
inflationCashflows
OISFuture
STIRFuture
Cliquet
OvernightIndexedSwap
PartialLookback
ConvertibleBond
InflationBond
YearYearInflationSwap
ZeroCouponInflationSwap
CMS
CMSNote
Inflation
CMSConvexityHull
CMSConvexityHull
cmsCashflows
Rubinstein
parametercurve
Asian
Barrier
DoubleBarrier
Touch
DoubleTouch
Binary
Cap
CDS
CDSOption
FixedBond
FixedBondOption
FloatBond
FloatBondOption
Floor
FRA
Lookback
OptionEmbeddedFixedBond
OptionEmbeddedFloatBond
Spread
Swap
VarianceSwap
Swaption
Vanilla
Deposit
BondFuture
CommodityFuture
EquityIndexFuture
FXFuture
Bates
Black
CDSBlack
BlackScholes
BraceGatarekMusiela
SABRBraceGatarekMusiela
LinearGaussian2F
BlackKarasinski
BlackDermanToy
Heston
HullWhite
Merton
Normal
Bachelier
Dupire
SABR
AssetMonteCarlo
HeynenKat
IkedaKunitomo
VannaVolga
Heston
ReplicatingVarianceSwap
BjerksundStensland
Black
BlackScholes
ConzeViswanathan
Credit
CDSBlack
NumericalIntegration
Discount
Future
FFT
GoldmanSosinGatto
HullWhite
IRMonteCarlo
IRTree
AssetTree
KemnaVorst
Kirk
Levy
Normal
RollGeskeWhaley
SABR
FiniteDifference
TurnbullWakeman
defprobcurve
survprobs
hazardrates
defprobstrip
Derivatives Pricing Options
Pricing Options Structure
Introduction
Default Structure
Customizing the Structure
Bibliography
Bibliography
Black-Derman-Toy (BDT) Modeling
Heath-Jarrow-Morton (HJM) Modeling
Hull-White (HW) and Black-Karasinski (BK) Modeling
Cox-Ross-Rubinstein (CRR) Modeling
Implied Trinomial Tree (ITT) Modeling
Leisen-Reimer Tree (LR) Modeling
Equal Probabilities Tree (EQP) Modeling
Closed-Form Solutions Modeling
Financial Derivatives
Fitting Interest-Rate Curve Functions
Interest-Rate Modeling Using Monte Carlo Simulation
Bootstrapping a Swap Curve
Bond Futures
Credit Derivatives
Convertible Bonds