Financial Derivatives Toolbox 5.3

Product Description

• Introduction and Key Features
• Working with Equity Options
• Working with Fixed-Income Instruments
• Creating Portfolios and Hedging Strategies

Working with Fixed-Income Instruments

Financial Derivatives Toolbox includes functions for finding the prices and sensitivities of several financial instruments based on interest-rate curves. You can apply the functions to a portfolio of different types of instruments or to groups of instruments of the same type.

The toolbox also provides functions that use the Heath-Jarrow-Morton (HJM), Black-Derman-Toy (BDT), Black-Karasinski (BK), and Hull-White (HW) models to compute prices and sensitivities for other financial instruments.

Financial Derivatives Toolbox supports the following fixed-income instruments:

• Bonds and options on bonds
• Arbitrary cash flows
• Fixed-rate and floating-rate notes
• Caps and floors
• Vanilla swaps