Financial Instruments Toolbox™ provides functions for pricing, modeling, and analyzing fixed-income, credit, and equity instrument portfolios. You can use the toolbox to perform cash-flow modeling and yield curve fitting analysis, compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods. The toolbox lets you create new financial instrument types, fit yield curves to market data using parametric fitting models and bootstrapping, and construct dual curve-based pricing models.
You can price and analyze fixed-income and equity instruments. For fixed-income modeling, you can calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For equities, you can compute price, implied volatility, and greek values of vanilla options and several exotic derivatives.
Financial Instruments Toolbox contains functions to model counterparty credit risk and CVA exposure. For credit derivatives, the toolbox includes credit default swap pricing and default probability curve modeling functions. For energy derivatives, you can model exotic and vanilla options. The toolbox also provides connectivity to Numerix® CrossAsset Integration Layer.
Financial Instruments Toolbox class structure supports interest-rate curve objects.
This example demonstrates analyzing German Euro-Bund futures traded on Eurex.
instadd function to create
an instrument portfolio or to add new instruments to an existing portfolio.
You can create instruments and manage a collection of instruments as a portfolio.
Generic fixed-rate mortgage pools and balloon mortgages have pass-through certificates (PC) that typically have embedded call options in the form of prepayment.