Financial Instruments Toolbox

Design, price, and hedge complex financial instruments

Financial Instruments Toolbox™ provides functions for pricing, modeling, hedging, and analyzing cash flows, fixed-income securities, and derivative instruments (including equity, interest-rate, credit, and energy instruments). For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models. You can also connect to Numerix® CrossAsset Integration Layer for the valuation and risk management of fixed-income securities, OTC derivatives, structured products, and variable annuity products.

Getting Started

Learn the basics of Financial Instruments Toolbox

Yield Curves

Bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data

Interest-Rate Instruments

Interest-rate instruments price, sensitivities, and term structure

Equity Derivatives

Equity options price and sensitivities

Energy Derivatives

Energy options price and sensitivities

Credit Derivatives

Credit default swap pricing and default probability curve

Counterparty Credit Risk

Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)

Mortgage-Backed Securities

Mortgage pass-through cash flows, CMO instrument pricing

Convertible Bonds

Convertible bond pricing with fixed or variable coupon rates

Numerix Interface

Numerix instruments and risk models using Numerix CROSSASSET