Financial Derivatives Toolbox
Getting Started
Preface
About this Book
Organization of the Document
Typographical Conventions
Related Products
Further Reading
Heath-Jarrow-Morton Modeling
Financial Derivatives
Using the Financial Derivatives Toolbox
Tutorial
Introduction
Interest Rate Models
Financial Instruments
Hedging
Creating and Managing Instrument Portfolios
Portfolio Creation
Portfolio Management
Interest Rate Environment
Interest Rates vs. Discount Factors
Interest Rate Term Conversions
Interest Rate Term Structure
Pricing and Sensitivity from Interest Term Structure
Pricing
Sensitivity
Heath-Jarrow-Morton (HJM) Model
Building an HJM Forward Rate Tree
Using HJM Trees in MATLAB
Pricing and Sensitivity from HJM
Pricing and the Price Tree
Calculating Prices and Sensitivities
Hedging
Hedging Functions
Hedging with hedgeopt
Self Financing Hedges (hedgeslf)
Specifying Constraints with ConSet
Hedging with Constrained Portfolios
Reference
Function Reference
Functions by Category
Alphabetical List of Functions
bondbyhjm
bondbyzero
bushpath
bushshape
capbyhjm
cfbyhjm
cfbyzero
classfin
date2time
datedisp
derivget
derivset
disc2rate
fixedbyhjm
fixedbyzero
floatbyhjm
floatbyzero
floorbyhjm
hedgeopt
hedgeslf
hjmprice
hjmsens
hjmtimespec
hjmtree
hjmvolspec
instadd
instaddfield
instbond
instcap
instcf
instdelete
instdisp
instfields
instfind
instfixed
instfloat
instfloor
instget
instgetcell
instlength
instoptbnd
instselect
instsetfield
instswap
insttypes
intenvget
intenvprice
intenvsens
intenvset
isafin
mkbush
mmktbyhjm
optbndbyhjm
rate2disc
ratetimes
swapbyhjm
swapbyzero
treeviewer
Getting Started
