MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manual de usuario Pagina 28

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R2012b
6-2
Merge of Fixed-Income Toolbox and Financial Derivatives Toolbox to
Financial Instruments Toolbox
Fixed-Income Toolbox™ and Financial Derivatives Toolbox™ are merged into the new
product Financial Instruments Toolbox.
Cap and floor floating-rate note pricing using trees
Support for pricing capped, collared, and floored floating-rate notes using the CapRate
and FloorRate arguments.
Function Purpose
floatbybdt Price a capped floating-rate note using a Black-Derman-Toy
interest-rate tree.
floatbyhjm Price a capped floating-rate note using a Heath-Jarrow-Morton
interest-rate tree.
floatbyhw Price a capped floating-rate note using a Hull-White interest-
rate tree.
floatbybk Price a capped floating-rate note using a Black-Karasinski
interest-rate tree.
instfloat Create a capped floating-rate note instrument.
instadd Add capped floating-rate note instruments to a portfolio.
Forward-swap pricing using trees or term structure
Support for interest-rate forward swaps using the new StartDate argument to define
the future date for the swap instrument.
Function Purpose
swapbyzero Price a bond using a set of zero curves.
swapbybdt Price a forward swap using a Black-Derman-Toy interest-rate
tree.
swapbyhjm Price a forward swap using a Heath-Jarrow-Morton interest-
rate tree.
swapbyhw Price a forward swap using a Hull-White interest-rate tree.
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