Financial Instruments Toolbox

Design, price, and hedge complex financial instruments

Financial Instruments Toolbox provides functionality for pricing, modeling, hedging, and managing an instrument portfolio. You can analyze cash flows for fixed-income securities and derivative instruments including interest-rate, inflation, equity, commodity, credit, and energy instruments. The toolbox provides a modular framework that supports a wide range of workflows and enables you to price instruments with a variety of models and pricing methods.

Financial Instruments Toolbox showing volatility surface.

Curve Models

Analyze or bootstrap interest-rate curves from market data using ratecurve. Estimate parameters for yield curve models using a parametercurve object.

Documentation | Examples

Calibrated shifted SABR model parameters for swaption instrument.

Interest-Rate Instruments

Price, compute sensitivity, and perform hedging analysis for interest-rate securities. Price bonds, floating-rate notes, swaps, swaptions, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and closed-form solutions.

Documentation | Examples

Visualization of the seasonal patterns of inflation that occur within each year.

Inflation Instruments

Build an inflation curve, calculate index values, and price inflation bonds, Year-on-Year Inflation-Indexed Swaps, and Zero-Coupon Inflation Swaps.

Documentation | Examples

The plot displays vanilla and Asian option prices with respect to the underlying asset price.

Equity, FX, Commodity, or Energy Instruments

Price Vanilla and exotic options with Black-Scholes and stochastic volatility models using Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.

Documentation | Examples

Plot for the payer and receiver for CDS Options.

Credit Derivative Instruments

Price credit default swaps and credit default swap options. Compute the default probability and hazard rate values from market data. Price credit instruments using a default probability curve.

Documentation | Examples

Instrument Portfolios

Define portfolios of heterogenous assets and then calculate the price and sensitivities of all instruments in the portfolio.

Documentation | Examples

Product Resources:

Documentation Examples Videos Requirements Release notes

“Object-oriented programming in MATLAB enabled us to write less error-prone code, define reusable interfaces, and make rapid updates. As a result, we can give our investors better insight into how we manage our funds and how we look at markets.”

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