Design, price, and hedge complex financial instruments

Financial Instruments Toolbox™ provides functions for pricing, modeling, and analyzing fixed-income, credit, and equity instrument portfolios. You can use the toolbox to perform cash-flow modeling and yield curve fitting analysis, compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods. The toolbox lets you create new financial instrument types, fit yield curves to market data using parametric fitting models and bootstrapping, and construct dual curve based pricing models.

You can price and analyze fixed-income and equity instruments. For fixed-income modeling, you can calculate price, yield, spread, and sensitivity values for several types of securities and derivatives, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For equities, you can compute price, implied volatility, and greek values of vanilla options and several exotic derivatives.

Financial Instruments Toolbox contains functions to model counterparty credit risk and CVA exposure. For credit derivatives, the toolbox includes credit default swap pricing and default probability curve modeling functions. For energy derivatives, you can model exotic and vanilla options. The toolbox also provides connectivity to Numerix® CrossAsset Integration Layer.


Capabilities

Yield Curve and Interest Rate Term Structure

Customize objects for fitting a yield curve to market data.

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Option Pricing Models

Perform option pricing using models such as Black Scholes, Black, and Garman-Kohlhagen.

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Portfolio Hedging Strategies

Price portfolios and apply hedging strategies.

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Interest Rate Instruments

Use functions for finding prices and sensitivities of several fixed-income instruments based on interest rate curves.

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Equity Instruments

Model the evolution of stock prices.

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Credit and Mortgage Instruments

Price credit derivatives such as new and existing credit default swap (CDS) agreements and credit default swaptions.

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Product Resources

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Documentation

Explore documentation for Financial Instruments Toolbox functions and features, including release notes and examples.

Functions

Browse the list of available Financial Instruments Toolbox functions.

System Requirements

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Technical Articles

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User Stories

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Community and Support

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Financial Instruments Toolbox Technical Expert

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