Financial Toolbox

Tutorial

The Financial Toolbox contains functions that perform many common financial tasks, including:

• Handling and converting dates

Calendar functions convert dates among different formats (including Excel formats), determine future or past dates, find dates of holidays and business days, compute time differences between dates, find coupon dates and coupon periods for coupon bonds, and compute time periods based on 360-, 365-, or 366-day years.

• Formatting currency

The toolbox includes functions for handling decimal values in bank (currency) formats and as fractional prices.

• Charting financial data

Charting functions produce a variety of financial charts including Bollinger bands, high-low-close charts, candlestick plots, point and figure plots, and moving-average plots. The Financial Time Series Toolbox provides additional charting functions. See the Financial Time Series Toolbox User's Guide for a description of these functions.

• Analyzing and computing cash flows

Cash-flow evaluation and financial accounting functions compute interest rates, rates of return, payments associated with loans and annuities, future and present values, depreciation, and other standard accounting calculations associated with cash-flow streams.

• Pricing and computing yields for fixed-income securities; analyzing the term structure of interest rates

Securities Industry Association (SIA) compliant fixed-income functions compute prices, yields, accrued interest, and sensitivities for securities such as bonds, zero-coupon bonds, and Treasury bills. They handle odd first and last periods in price/yield calculations, compute accrued interest and discount rates, and calculate convexity and duration. Another set of functions analyzes term structure of interest rates, including pricing bonds from yield curves and bootstrapping yield curves from market prices.

• Pricing and analyzing equity derivatives

Derivatives analysis functions compute prices, yields, and sensitivities for derivative securities. They deal with both European and American options.

Black-Scholes functions work with European options. They compute delta, gamma, lambda, rho, theta, and vega, as well as values of call and put options.

Binomial functions work with American options, computing put and call prices. The optional Simulink system provides powerful tools for constructing simulation models for pricing these kinds of options.

• Analyzing portfolios

Portfolio analysis functions provide basic utilities to compute variances and covariance of portfolios, find combinations to minimize variance, compute Markowitz efficient frontiers, and calculate combined rates of return.

• Black-Derman-Toy functions work with both American and European options to compute prices, discounts, and sensitivity measures for bonds with embedded call or put options. See the Function Reference for additional information.
• Generalized Autoregressive Conditional Heteroskedasticity (GARCH) functions model the volatility of univariate economic time series. (The GARCH Toolbox provides a more comprehensive and integrated computing environment. For information see the GARCH Toolbox User's Guide or the financial products Web page at
  http://www.mathworks.com/products/finprod.)

Using the Financial Toolbox

Handling and Converting Dates