|Financial Derivitives Toolbox Release Notes|
Introduction to the Financial Derivatives Toolbox
The Financial Derivatives Toolbox extends the Financial Toolbox in the areas of fixed income derivatives and of securities contingent upon interest rates. The toolbox provides components for analyzing individual financial derivative instruments and portfolios composed of them. Specifically, it provides the necessary functions for calculating prices and sensitivities, for hedging, and for visualizing results.
Interest Rate Models
The Financial Derivatives Toolbox computes pricing and sensitivities of interest rate contingent claims based upon sets of zero coupon bonds or the Heath-Jarrow-Morton (HJM) evolution model of the interest rate term structure.
The Financial Derivatives Toolbox also includes hedging functionality, allowing the rebalancing of portfolios to reach target costs or target sensitivities, which may be set to zero for the case of a neutral-sensitivity portfolio. Optionally, the rebalancing process can be self-financing or directed by a set of user-supplied constraints.
The toolbox provides a set of functions that perform computations upon portfolios containing up to seven types of financial instruments.
Bond. A long-term debt security with preset interest rate and maturity, by which the principal and interests must be paid.
Bond Options. Puts and calls on portfolios of bonds.
Fixed Rate Note. A long-term debt security with preset interest rate and maturity, by which the interests must be paid. The principal may or may not be paid at maturity. In this version of the Financial Derivatives Toolbox, the principal is always paid at maturity.
|New Functions in Version 2.0|