Financial Derivatives Toolbox | ![]() ![]() |
Functions by Category
This chapter provides detailed descriptions of the functions in the Financial Derivatives Toolbox.
Function |
Purpose |
hedgeslf |
Self-financing hedge |
hedgeopt |
Allocate optimal hedge for target costs or sensitivities |
Function |
Purpose |
bondbyzero |
Price bond by a set of zero curves |
cfbyzero |
Price cash flows by a set of zero curves |
fixedbyzero |
Price fixed rate note by a set of zero curves |
floatbyzero |
Price floating rate note by a set of zero curves |
intenvprice |
Price fixed income instruments by a set of zero curves |
intenvsens |
Instrument prices and sensitivities by a set of zero curves |
swapbyzero |
Price swap by a set of zero curves |
Function |
Purpose |
hjmprice |
Fixed income instrument prices by HJM interest rate tree |
hjmsens |
Fixed income instrument price and sensitivities by HJM interest rate tree |
hjmtimespec |
Specify time structure for HJM interest rate tree |
hjmtree |
Construct HJM interest rate tree |
hjmvolspec |
Volatility process specification |
Function |
Purpose |
bondbyhjm |
Price bond by HJM interest rate tree |
capbyhjm |
Price cap by HJM interest rate tree |
cfbyhjm |
Price arbitrary set of cash flows by HJM interest rate tree |
fixedbyhjm |
Price fixed rate note by HJM interest rate tree |
floatbyhjm |
Price floating rate note by HJM interest rate tree |
floorbyhjm |
Price floor by HJM interest rate tree |
mmktbyhjm |
Create money market tree |
optbndbyhjm |
Price bond option by HJM interest rate tree |
swapbyhjm |
Price swap by HJM interest rate tree |
Function |
Purpose |
bushpath |
Extract entries from node of bushy tree |
bushshape |
Retrieve shape of bushy tree |
mkbush |
Create bushy tree |
treeviewer |
Display Heath-Jarrow-Morton (HJM) tree |
Function |
Purpose |
derivget |
Get derivatives pricing options |
derivset |
Set or modify derivatives pricing options |
Function |
Purpose |
instadd |
Add types to instrument collection |
instaddfield |
Add new instruments to an instrument collection |
instbond |
Construct bond instrument |
instcap |
Construct cap instrument |
instcf |
Constructor for arbitrary cash flow instrument |
instdelete |
Complement of subset of instruments by matching conditions |
instdisp |
Display instruments |
instfields |
List fieldnames |
instfind |
Search instruments for matching conditions |
instfixed |
Construct fixed-rate instrument |
instfloat |
Construct floating-rate instrument |
instfloor |
Construct floor instrument |
instget |
Retrieve data from instrument variable |
instgetcell |
Retrieve data and context from instrument variable |
instlength |
Count instruments |
instoptbnd |
Construct bond option |
instselect |
Create instrument subset by matching conditions |
instsetfield |
Add or reset data for existing instruments |
instswap |
Construct swap instrument |
insttypes |
List types |
Function |
Purpose |
classfin |
Create financial structure or return financial structure class name |
isafin |
True if financial structure type or financial object class |
Function |
Purpose |
date2time |
Fixed income time and frequency from dates |
disc2rate |
Interest rates from cash flow discounting factors |
intenvget |
Get properties of interest rate environment |
intenvset |
Set properties of interest rate environment |
rate2disc |
Discounting factors from interest rates |
ratetimes |
Change time intervals defining interest rate environment |
Function |
Purpose |
datedisp |
Display date entries |
![]() | Reference | Alphabetical List of Functions | ![]() |