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Fixed Income
The fixed-income market demands a vast selection of investment options with a variety of credit quality, maturities, and yields to meet investors' objectives. To accomplish this, fixed income groups frequently create and modify mathematical models to calculate bond pricing, perform yield analysis, calculate cash flows, and develop hedging strategies.
"Creating models in MATLAB® takes 10% of the time we used to take programming in C."
financial analyst at
DMG's Global Markets Arbitrage Group
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The MATLAB environment offers a wide variety of functionality to help analyze bond data. The figures contain spot and forward curve plots (left), basic statistic and curve fitting from the data (center), and a bootstrapping graph (right). Click on image to see enlarged view. |
Fixed-income research groups use the thousands of prewritten math and graphics functions in MathWorks products to access bond data, perform statistical analysis, calculate spreads, determine bond and derivative pricing, perform sensitivity analyses, and run Monte Carlo simulations.
Advanced graphics and rendering capabilities in MATLAB make reviewing cash flows, visualizing decision trees, plotting spot and forward curves, and creating deployable interactive 2- and 3-D models easy.
Select any of the following links for more information on:
- Introduction to MATLAB in Finance
- Why use MATLAB
- Analyzing and modeling financial data
- Rapidly Deploying Financial Applications
Free Financial Modeling Interactive CD Tech Kit
CD includes selected presentations with Q & A led by experts in using MATLAB for financial modeling.
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I can honestly say that without MATLAB and all of these functions it would have taken us twice as long to complete this project, and at a much higher price.