Financial Toolbox

Function Reference

Functions by Category
This chapter contains detailed descriptions of all the functions in the Financial Toolbox. It first groups the functions in task categories and then explains each function in alphabetical order.

Handling and Converting Dates

Note:   The date functions datenum, datestr, datevec, eomday, now, and weekday now ship with basic MATLAB. They originally shipped only with the Financial Toolbox. Their descriptions remain in this manual for your convenience.

	Date and Time Components
datefind	Indices of date numbers in matrix.
datevec	Date components.
day	Day of month.
eomdate	Last date of month.
eomday	Last day of month.
hour	Hour of date or time.
lweekdate	Date of last occurrence of weekday in month.
minute	Minute of date or time.
month	Month of date.
months	Number of whole months between dates.
nweekdate	Date of specific occurrence of weekday in month.
second	Second of date or time.
weekday	Day of the week.
year	Year of date.
yeardays	Number of days in year.

	Date Conversion
datedisp	Display date entries.
datenum	Create date number.
datestr	Create date string.
m2xdate	MATLAB serial date number to Excel serial date number.
x2mdate	Excel serial date number to MATLAB serial date number.

	Financial Dates
busdate	Next or previous business day.
datemnth	Date of day in future or past month.
datewrkdy	Date of future or past workday.
days360	Days between dates based on 360-day year.
days365	Days between dates based on 365-day year.
daysact	Actual number of days between dates.
daysdif	Days between dates for any day-count basis.
fbusdate	First business date of month.
holidays	Holidays and non-trading days.
isbusday	True for dates that are business days.
lbusdate	Last business date of month.
wrkdydif	Number of working days between dates.
yearfrac	Fraction of year between dates.

		Coupon Bond Dates
accrfrac	SIA	Fraction of coupon period before settlement.
cfamounts	SIA	Cash flow and time mapping for bond portfolio.
cfdates	SIA	Cash flow dates for a fixed-income security with periodic payments.
cfport		Portfolio form of cash flow amounts.
cftimes	SIA	Time factors corresponding to bond cash flow dates.
cpncount	SIA	Coupon payments remaining until maturity.
cpndaten	SIA	Next coupon date after settlement date.
cpndatenq	SIA	Next quasi coupon date for fixed income security.
cpndatep	SIA	Previous coupon date before settlement date.
cpndatepq	SIA	Previous quasi coupon date for fixed income security.
cpndaysn	SIA	Number of days between settlement date and next coupon date.
cpndaysp	SIA	Number of days between previous coupon date and settlement date.
cpnpersz	SIA	Number of days in coupon period containing settlement date.

The Securities Industry Association acronym, SIA, identifies SIA-compliant functions.

Formatting Currency

	Currency Formats
cur2frac	Decimal currency value to fractional value.
cur2str	Bank formatted text.
frac2cur	Fractional currency value to decimal value.

Charting Financial Data
The Financial Toolbox provides a set of functions that create several of the most commonly-used types of financial charts. The Financial Time Series Toolbox provides additional charting capabilities. Using time series data as input, the Financial Time Series Toolbox can compute the value of various financial indicators and plot the results. Complete information may be found in the Financial Time Series User's Guide.

Analyzing and Computing Cash Flows

	Annuities
annurate	Periodic interest rate of annuity.
annuterm	Number of periods to obtain value.

	Present Value
pvfix	Present value with fixed periodic payments.
pvvar	Present value of varying cash flow.

	Future Value
fvdisc	Future value of discounted security.
fvfix	Future value with fixed periodic payments.
fvvar	Future value of varying cash flow.

	Payment Calculations
payadv	Periodic payment given number of advance payments.
payodd	Payment of loan or annuity with odd first period.
payper	Periodic payment of loan or annuity.
payuni	Uniform payment equal to varying cash flow.

	Rates of Return
effrr	Effective rate of return.
irr	Internal rate of return.
mirr	Modified internal rate of return.
nomrr	Nominal rate of return.
taxedrr	After-tax rate of return.
xirr	Internal rate of return for nonperiodic cash flow.

	Cash Flow Sensitivities
cfconv	Cash flow convexity.
cfdur	Cash flow duration and modified duration.

Fixed-Income Securities

	Accrued Interest
acrubond	Accrued interest of security with periodic interest payments.
acrudisc	Accrued interest of discount security paying at maturity.

	Term Structure of Interest Rates
disc2zero	Zero curve given a discount curve.
fwd2zero	Zero curve given a forward curve.
prbyzero	Price bonds in a portfolio by a set of zero curves.
pyld2zero	Zero curve given a par yield curve.
tbl2bond	Treasury bond parameters given Treasury bill parameters.
tr2bonds	Term-structure parameters given Treasury bond parameters.
zbtprice	Zero curve bootstrapping from coupon bond data given price.
zbtyield	Zero curve bootstrapping from coupon bond data given yield.
zero2disc	Discount curve given a zero curve.
zero2fwd	Forward curve given a zero curve.
zero2pyld	Par yield curve given a zero curve.

		Yields
beytbill		Bond equivalent yield for Treasury bill.
bndyield	SIA	Yield to maturity for fixed income security.
discrate		Bank discount rate of a money market security.
ylddisc		Yield of discounted security.
yldmat		Yield of security with interest at maturity.
yldtbill		Yield of Treasury bill.

		Interest Rate Sensitivities
bndconvp	SIA	Bond convexity given price.
bndconvy	SIA	Bond convexity given yield.
bnddurp	SIA	Bond duration given price.
bnddury	SIA	Bond duration given yield.

Analyzing Portfolios

	Portfolio Analysis
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	Mean-variance efficient frontier.
pcalims	Linear inequalities for individual asset allocation.
pcgcomp	Linear inequalities for asset group comparison constraints.
pcglims	Linear inequalities for asset group minimum and maximum allocation.
pcpval	Linear inequalities for fixing total portfolio value.
portalloc	Optimal capital allocation.
portcons	Portfolio constraints.
portopt	Portfolios on constrained efficient frontier.
portrand	Randomized portfolio risks, returns, and weights.
portstats	Portfolio expected return and risk.
portsim	Random simulation of correlated asset returns.
portvrisk	Portfolio value at risk
ret2tick	Price tick series from incremental returns and initial price.
tick2ret	Incremental return series from a tick price series.

Pricing and Analyzing Derivatives

	Option Valuation and Sensitivity
bdtbond	Black-Derman-Toy pricing of option-embedded bonds.
bdttrans	Translate a tree returned by bdtbond.
binprice	Binomial put and call pricing.
blkprice	Black's option pricing.
blsdelta	Black-Scholes sensitivity to underlying price change.
blsgamma	Black-Scholes sensitivity to underlying delta change.
blsimpv	Black-Scholes implied volatility.
blslambda	Black-Scholes elasticity.
blsprice	Black-Scholes put and call pricing.
blsrho	Black-Scholes sensitivity to interest rate change.
blstheta	Black-Scholes sensitivity to time-until-maturity change.
blsvega	Black-Scholes sensitivity to underlying price volatility.
opprofit	Option profit.

GARCH Processes
The Financial Toolbox provides these representative functions to help you familiarize yourself with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) in the MATLAB context. The GARCH Toolbox provides a more comprehensive and integrated computing environment that includes maximum likelihood parameter estimation, volatility forecasting, Monte Carlo simulation, diagnostic and hypothesis testing, graphical analysis, and data manipulation. For information see the GARCH Toolbox User's Guide or the financial products Web page at http://www.mathworks.com/products/finprod/.

	Univariate GARCH Processes
ugarch	GARCH parameter estimation.
ugarchllf	Log-likelihood objective function.
ugarchpred	Forecast conditional variance.
ugarchsim	Simulate GARCH process.

Obsolete Bond Price and Yield Functions
The functions listed in this table are obsolete, and their descriptions have been removed from the documentation. They have been replaced with the SIA-compliant functions bndprice and bndyield. For compatibility purposes, the obsolete functions remain in the product. Type help function_name at the MATLAB command line for a description.

	Obsolete Functions
prbond	Price of security with regular periodic interest payments.
proddf	Price with odd first period.
proddfl	Price with odd first and last periods and settlement in first period.
proddl	Price with odd last period.
yldbond	Yield to maturity of bond.
yldoddf	Yield of security with odd first period.
yldoddfl	Yield of security with odd first and last periods and settlement in first period.
yldoddl	Yield of security with odd last period.

Reference

Alphabetical List of Functions