Price Instruments Using Functions
Financial Instruments provides functions for pricing, modeling, hedging, and analyzing cash flows, fixed-income securities, and derivative instruments (including equity, interest-rate, credit, and energy instruments). For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models.
Categories
- Yield Curves
Bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data
- Interest-Rate Instruments
Interest-rate instruments price, sensitivities, and term structure
- Equity Derivatives
Equity options price and sensitivities
- Energy Derivatives
Energy options price and sensitivities
- Credit Derivatives and Credit Exposures
Credit default swap pricing and default probability curve, counterparty credit risk exposures
- Mortgage-Backed Securities
Mortgage pass-through cash flows, CMO instrument pricing