Version 2.6, part of Release 2017b, includes the following enhancements:

  • Interest-Rate Instruments: ​Price swaptions with resettable legs and different basis conventions using Black, Normal, and lattice (tree-based) models​
  • ​​Interest-Rate Instruments: Use Hull-White calibration routines for Shifted Black and Normal models

See the Release Notes for details.

Version 2.5, part of Release 2017a, includes the following enhancements:

  • Interest-Rate Instruments: Price interest rate options with negative rates using normal volatility model and shifted SABR model​
  • ​​Equity Instruments: Price American vanilla options using Barone-Adesi and Whaley model​​

See the Release Notes for details.

Version 2.4, part of Release 2016b, includes the following enhancements:

  • Equity Instruments: Price barrier options with closed form, Crank-Nicolson method, and Monte Carlo simulation
  • Equity Instruments: Price European options with finite differences method
  • Hybrid Instruments: Price convertible bonds with a default risk and recovery rate using standard and implied trinomial trees
  • Numerix CAIL Engine: Access the Numerix Engine directly from MATLAB using an updated API

See the Release Notes for details.

Version 2.3, part of Release 2016a, includes the following enhancements:

  • Cap and Floor Instruments: Volatility stripping
  • Swap Instruments: Pricing cross-currency, fixed-fixed, and float-float swaps

See the Release Notes for details.

Version 2.2, part of Release 2015b, includes the following enhancements:

  • Hybrid Instruments: Price convertible bonds using standard and implied trinomial trees
  • Equity Instruments: Price equity derivatives using a standard trinomial tree
  • Simple Interest Convention: Calculate zero curves, forward curves, discount curves, rates, and bootstrapping using simple interest

See the Release Notes for details.