Release 11 Enhancements (Release 11 New Features)

Release 11 New Features

Financial Toolbox 2.0

Portfolio Analysis

The portfolio analysis and optimization functions now support constraints on portfolios, compute asset allocation, and allow a more flexible specification of asset expected returns and covariances.

Release 2.0 provides additional functions that handle asset time series, including conversions between return and price series, expected return and covariance computations, and Monte Carlo simulation.


Function	Description
`corr2cov`	Convert standard deviation and correlation to covariance.
`cov2corr`	Convert covariance to standard deviation and correlation coefficient.
`ewstats`	Expected return and covariance from return time series.
`frontcon`	Efficient frontier with basic constraints.
`pcalims`	Asset allocation bounds.
`pcgcomp`	Group to group composition bounds.
`pcglims`	Asset group allocation bounds.
`pcpval`	Total value.
`portalloc`	Capital allocation.
`portcons`	Specify constraints.
`portopt`	Efficient frontier with arbitrary constraint set.
`portsim`	Random simulation of correlated asset returns.
`portstats`	Risk and expected rate of return.
`portvrisk`	Portfolio value at risk.
`ret2tick`	Price tick series from incremental returns and initial price.
`tick2ret`	Incremental return series from a tick price series.

Fixed Income Functions

Coupon functions now handle the SIA conventions for bonds with possible odd first and last coupon periods. The functions also return an expanded set of coupon parameters including lists of cash flow dates and amounts, accrued interest, and time factors.


Function	Description
`accrfrac`	Accrued interest coupon period fraction.
`bndprice`	Price of an SIA standard fixed income security.
`bndyield`	Yield of an SIA standard fixed income security.
`cfamounts`	Cash flow and time mapping for bond portfolio.
`cfdates`	Cash flow dates.
`cftimes`	Time factors corresponding to bond cash flow dates.
`cpncount`	Coupons payable between dates.
`cpndaten`	Next coupon date after date.
`cpndatenq`	Next quasi coupon date after date.
`cpndatep`	Previous coupon date before date.
`cpndatepq`	Previous quasi coupon date before date.
`cpndaysn`	Number of days between date and next coupon date.
`cpndaysp`	Number of days between date and previous coupon date.
`cpnpersz`	Size in days of period containing date.

Univariate GARCH Processes

Release 2.0 provides functions for performing univariate ARCH/GARCH analysis. Parameter estimation, volatility forecasting, and simulation are possible for a GARCH process with Gaussian residuals.


Function	Description
`ugarch`	GARCH parameter estimation.
`ugarchllf`	Log-likelihood objective function.
`ugarchpred`	Forecast conditional variance.
`ugarchsim`	Simulate GARCH process.

Pricing and Analyzing Derivatives

The Black-Derman-Toy model for valuing bond options is now included. The function builds a recombining binary tree from input rate curve, volatility curve, and credit spread.


Function	Description
`bdtbond`	Black-Derman-Toy pricing of option-embedded bonds.
`bdttrans`	Translate a tree returned by `bdtbond`.

Time Series Demonstration

The Financial Toolbox now includes a demonstration time series object. It has an example implementation of an interface to a charting and analysis package. Approximately 80 functions and overloaded methods are included.

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