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Functions in Financial Toolbox

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  • Data Preprocessing

    Date and Time Component Formats

    now Current date and time as serial date number
    today Current date
    datefind Indices of date numbers in matrix
    datevec Convert date and time to vector of components
    day Day of month
    eomdate Last date of month
    hour Hour of date or time
    lweekdate Date of last occurrence of weekday in month
    minute Minute of date or time
    month Month of date
    months Number of whole months between dates
    nweekdate Date of specific occurrence of weekday in month
    weeknum Week in year
    year Year of date
    yeardays Number of days in year

    Date Conversion

    date2time Time and frequency from dates
    datedisp Display date entries
    datenum Convert date and time to serial date number
    datestr Convert date and time to string format
    m2xdate MATLAB serial date number to Excel serial date number
    time2date Dates from time and frequency
    uicalendar Graphical calendar
    x2mdate Excel serial date number to MATLAB serial date number

    Business Calendar Formats

    busdate Next or previous business day
    busdays Business days in serial date format
    datemnth Date of day in future or past month
    datewrkdy Date of future or past workday
    days360 Days between dates based on 360-day year
    days360e Days between dates based on 360-day year (European)
    days360isda Days between dates based on 360-day year (International Swap Dealer Association (ISDA) compliant)
    days360psa Days between dates based on 360-day year (Public Securities Association (PSA) compliant)
    days365 Days between dates based on 365-day year
    daysact Actual number of days between dates
    daysadd Date away from starting date for any day-count basis
    daysdif Days between dates for any day-count basis
    fbusdate First business date of month
    isbusday True for dates that are business days
    lbusdate Last business date of month
    thirdwednesday Find third Wednesday of month
    wrkdydif Number of working days between dates
    yearfrac Fraction of year between dates
    createholidays Create trading calendars
    holidays Holidays and nontrading days
    nyseclosures New York Stock Exchange closures from 1885 to 2050

    Coupon Bond Dates

    accrfrac Fraction of coupon period before settlement
    cpncount Coupon payments remaining until maturity
    cpndaten Next coupon date for fixed-income security
    cpndatenq Next quasi-coupon date for fixed-income security
    cpndatep Previous coupon date for fixed-income security
    cpndaysp Number of days since previous coupon date
    cpnpersz Number of days in coupon period

    Currency and Price Conversion

    cur2frac Decimal currency values to fractional values
    cur2str Bank-formatted text
    dec2thirtytwo Decimal to thirty-second quotation
    frac2cur Fractional currency value to decimal value
    thirtytwo2dec Thirty-second quotation to decimal

    Financial Time Series

    Create Time Series

    fints Construct financial time series object
    ascii2fts Create financial time series object from ASCII file
    fts2ascii Write elements of time series data into ASCII file
    fts2mat Convert to matrix

    Transform Time Series

    boxcox Box-Cox transformation
    convert2sur Convert multivariate normal regression model to seemingly unrelated regression (SUR) model
    convertto Convert to specified frequency
    diff Differencing
    fillts Fill missing values in time series
    filter Linear filtering
    lagts Lag time series object
    leadts Lead time series object
    peravg Periodic average of FINTS object
    resamplets Downsample data
    smoothts Smooth data
    tsmovavg Moving average
    toannual Convert to annual
    todaily Convert to daily
    todecimal Fractional to decimal conversion
    tomonthly Convert to monthly
    toquarterly Convert to quarterly
    toquoted Decimal to fractional conversion
    tosemi Convert to semiannual
    toweekly Convert to weekly

    Merge Time Series

    merge Merge multiple financial time series objects
    horzcat Concatenate financial time series objects horizontally
    vertcat Concatenate financial time series objects vertically

    Analyze Time Series

    Descriptive Statistics

    corrcoef Correlation coefficients
    cov Covariance matrix
    isempty True for empty financial time series objects
    nancov Covariance ignoring NaNs
    nanmax Maximum ignoring NaNs
    nanmean Mean ignoring NaNs
    nanmedian Median ignoring NaNs
    nanmin Minimum ignoring NaNs
    nanstd Standard deviation ignoring NaNs
    nansum Sum ignoring NaNs
    nanvar Variance ignoring NaNs
    var Variance

    Arithmetic and Math Operations

    end Last date entry
    horzcat Concatenate financial time series objects horizontally
    length Get number of dates (rows)
    minus Financial time series subtraction
    mrdivide Financial time series matrix division
    mtimes Financial time series matrix multiplication
    plus Financial time series addition
    power Financial time series power
    rdivide Financial time series division
    size Number of dates and data series
    subsasgn Content assignment
    subsref Subscripted reference
    times Financial time series multiplication
    uminus Unary minus of financial time series object
    uplus Unary plus of financial time series object
    vertcat Concatenate financial time series objects vertically
    cumsum Cumulative sum
    exp Exponential values
    hist Histogram
    log Natural logarithm
    log10 Common logarithm
    log2 Base 2 logarithm
    max Maximum value
    mean Arithmetic average
    min Minimum value
    std Standard deviation

    Data Extraction

    ftstool Financial Time Series app
    ftsgui Financial time series GUI
    chfield Change data series name
    eq (fts) Multiple financial times series object equality
    extfield Data series extraction
    fetch Data from financial time series object
    fieldnames Get names of fields
    freqnum Convert string frequency indicator to numeric frequency indicator
    freqstr Convert numeric frequency indicator to string representation
    ftsbound Start and end dates
    ftsinfo Financial time series object information
    ftsuniq Determine uniqueness
    getfield Content of specific field
    getnameidx Find name in list
    iscompatible Structural equality
    isequal Multiple object equality
    isfield Check whether string is field name
    issorted Check whether dates and times are monotonically increasing
    rmfield Remove data series
    setfield Set content of specific field
    sortfts Sort financial time series

    Chart Technical Indicators

    adosc Accumulation/Distribution oscillator
    chaikosc Chaikin oscillator
    macd Moving Average Convergence/Divergence (MACD)
    stochosc Stochastic oscillator
    tsaccel Acceleration between times
    tsmom Momentum between times
    chaikvolat Chaikin volatility
    fpctkd Fast stochastics
    spctkd Slow stochastics
    willpctr Williams %R
    negvolidx Negative volume index
    posvolidx Positive volume index
    rsindex Relative Strength Index (RSI)
    adline Accumulation/Distribution line
    bollinger Time series Bollinger band
    hhigh Highest high
    llow Lowest low
    medprice Median price
    onbalvol On-Balance Volume (OBV)
    prcroc Price rate of change
    pvtrend Price and Volume Trend (PVT)
    typprice Typical price
    volroc Volume rate of change
    wclose Weighted close
    willad Williams Accumulation/Distribution line
    chartfts Interactive display
    candle (fts) Time series candle plot
    highlow (fts) Time series High-Low plot
    ret2tick (fts) Convert return series to price series for time series object
    tick2ret (fts) Convert price series to return series for time series object

    Financial Data Analytics

    Cash Flows

    Annuities

    annurate Periodic interest rate of annuity
    annuterm Number of periods to obtain value
    payadv Periodic payment given number of advance payments
    payodd Payment of loan or annuity with odd first period
    payper Periodic payment of loan or annuity
    payuni Uniform payment equal to varying cash flow

    Amortization and Depreciation

    amortize Amortization schedule
    depfixdb Fixed declining-balance depreciation schedule
    depgendb General declining-balance depreciation schedule
    deprdv Remaining depreciable value
    depsoyd Sum of years' digits depreciation
    depstln Straight-line depreciation schedule

    Present and Future Value

    pvfix Present value with fixed periodic payments
    pvvar Present value of varying cash flow
    fvdisc Future value of discounted security
    fvfix Future value with fixed periodic payments
    fvvar Future value of varying cash flow

    Rates of Return

    effrr Effective rate of return
    elpm Compute expected lower partial moments for normal asset returns
    irr Internal rate of return
    mirr Modified internal rate of return
    nomrr Nominal rate of return
    taxedrr After-tax rate of return
    xirr Internal rate of return for nonperiodic cash flow

    Cash Flow Generation and Sensitivities

    cfconv Cash flow convexity
    cfdur Cash-flow duration and modified duration
    cfamounts Cash flow and time mapping for bond portfolio
    cfport Portfolio form of cash flow amounts
    cftimes Time factors corresponding to bond cash flow dates
    cfdates Cash flow dates for fixed-income security
    cfprice Compute price for cash flow given yield to maturity
    cfplot Visualize cash flows of financial instruments
    cfspread Compute spread over yield curve for cash flow
    cfyield Compute yield to maturity for cash flow given price
    cfbyzero Price cash flows from set of zero curves

    Investment Performance Metrics

    elpm Compute expected lower partial moments for normal asset returns
    emaxdrawdown Compute expected maximum drawdown for Brownian motion
    inforatio Calculate information ratio for one or more assets
    lpm Compute sample lower partial moments of data
    maxdrawdown Compute maximum drawdown for one or more price series
    portalpha Compute risk-adjusted alphas and returns for one or more assets
    sharpe Compute Sharpe ratio for one or more assets

    Multivariate Normal Regression

    ecmnfish Fisher information matrix
    ecmmvnrfish Fisher information matrix for multivariate normal regression model
    ecmnhess Hessian of negative log-likelihood function
    ecmninit Initial mean and covariance
    ecmnobj Multivariate normal negative log-likelihood function
    ecmnmle Mean and covariance of incomplete multivariate normal data
    ecmnstd Standard errors for mean and covariance of incomplete data
    ecmmvnrstd Evaluate standard errors for multivariate normal regression model
    ecmmvnrmle Multivariate normal regression with missing data
    ecmmvnrobj Log-likelihood function for multivariate normal regression with missing data
    mvnrfish Fisher information matrix for multivariate normal or least-squares regression
    mvnrmle Multivariate normal regression (ignore missing data)
    mvnrobj Log-likelihood function for multivariate normal regression without missing data
    mvnrstd Evaluate standard errors for multivariate normal regression model
    convert2sur Convert multivariate normal regression model to seemingly unrelated regression (SUR) model

    Data Transformation

    abs2active Convert constraints from absolute to active format
    active2abs Convert constraints from active to absolute format
    arith2geom Arithmetic to geometric moments of asset returns
    corr2cov Convert standard deviation and correlation to covariance
    cov2corr Convert covariance to standard deviation and correlation coefficient
    geom2arith Geometric to arithmetic moments of asset returns
    holdings2weights Portfolio holdings into weights
    ret2tick Convert return series to price series
    tick2ret Convert price series to return series
    weights2holdings Portfolio values and weights into holdings

    Chart Financial Data

    bar, barh Bar chart
    bar3, bar3h 3-D bar chart
    bolling Bollinger band chart
    candle Candlestick chart
    cfplot Visualize cash flows of financial instruments
    dateaxis Convert serial-date axis labels to calendar-date axis labels
    highlow High, low, open, close chart
    kagi Kagi chart
    linebreak Line break chart
    movavg Leading and lagging moving averages chart
    plot Plot data series
    pointfig Point and figure chart
    priceandvol Price and volume chart
    renko Renko chart
    volarea Price and volume chart

    Asset Allocation and Portfolio Optimization

    Portfolio Optimization Theory

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

    Mean-Variance Portfolio Optimization

    Create Portfolio

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    setAssetList Set up list of identifiers for assets
    setInitPort Set up initial or current portfolio
    setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1

    Estimate Mean and Covariance for Returns

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    getAssetMoments Obtain mean and covariance of asset returns from Portfolio object
    setAssetMoments Set moments (mean and covariance) of asset returns
    estimateAssetMoments Estimate mean and covariance of asset returns from data
    setCosts Set up proportional transaction costs

    Specify Portfolio Constraints

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    addEquality Add linear equality constraints for portfolio weights to existing constraints
    addGroupRatio Add group ratio constraints for portfolio weights to existing group ratio constraints
    addGroups Add group constraints for portfolio weights to existing group constraints
    addInequality Add linear inequality constraints for portfolio weights to existing constraints
    getBounds Obtain bounds for portfolio weights from Portfolio object
    getBudget Obtain budget constraint bounds from Portfolio object
    getCosts Obtain buy and sell transaction costs from Portfolio object
    getEquality Obtain equality constraint arrays from Portfolio object
    getGroupRatio Obtain group ratio constraint arrays from Portfolio object
    getGroups Obtain group constraint arrays from Portfolio object
    getInequality Obtain inequality constraint arrays from Portfolio object
    getOneWayTurnover Obtain one-way turnover constraints from Portfolio object
    setGroups Set up group constraints for portfolio weights
    setInequality Set up linear inequality constraints for portfolio weights
    setBounds Set up bounds for portfolio weights
    setBudget Set up budget constraints
    setCosts Set up proportional transaction costs
    setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1
    setEquality Set up linear equality constraints for portfolio weights
    setGroupRatio Set up group ratio constraints for portfolio weights
    setInitPort Set up initial or current portfolio
    setOneWayTurnover Set up one-way portfolio turnover constraints
    setTurnover Set up maximum portfolio turnover constraint

    Validate Portfolio

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    checkFeasibility Check feasibility of input portfolios against Portfolio object
    estimateBounds Estimate global lower and upper bounds for set of portfolios

    Estimate Efficient Portfolios and Frontiers

    Portfolio Portfolio object for mean-variance portfolio optimization and analysis
    estimateFrontier Estimate specified number of optimal portfolios on the efficient frontier
    estimateFrontierByReturn Estimate optimal portfolios with targeted portfolio returns
    estimateFrontierByRisk Estimate optimal portfolios with targeted portfolio risks
    estimateFrontierLimits Estimate optimal portfolios at endpoints of efficient frontier
    plotFrontier Plot efficient frontier
    estimateMaxSharpeRatio Estimate efficient portfolio to maximize Sharpe ratio
    estimatePortMoments Estimate moments of portfolio returns
    estimatePortReturn Estimate mean of portfolio returns
    estimatePortRisk Estimate standard deviation of portfolio returns (portfolio risk)
    setSolver Choose main solver and specify associated solver options for portfolio optimization

    Conditional Value-at-Risk Portfolio Optimization

    Create Portfolio

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    setAssetList Set up list of identifiers for assets for PortfolioCVaR object
    setInitPort Set up initial or current portfolio for PortfolioCVaR object
    setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1 for PortfolioCVaR object
    setProbabilityLevel Set probability level for VaR and CVaR calculations

    Asset Returns and Scenarios

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    getScenarios Obtain scenarios from PortfolioCVaR object
    setScenarios Set asset returns scenarios by direct matrix for PortfolioCVaR object
    estimateScenarioMoments Estimate mean and covariance of asset return scenarios in PortfolioCVaR object
    simulateNormalScenariosByMoments Simulate multivariate normal asset return scenarios from mean and covariance of asset returns for PortfolioCVaR object
    simulateNormalScenariosByData Simulate multivariate normal asset return scenarios from data for PortfolioCVaR object
    setCosts Set up proportional transaction costs for PortfolioCVaR object

    Specify Portfolio Constraints

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    addEquality Add linear equality constraints for portfolio weights to existing constraints in PortfolioCVaR object
    addGroupRatio Add group ratio constraints for portfolio weights to existing group ratio constraints for PortfolioCVaR object
    addGroups Add group constraints for portfolio weights to existing group constraints for PortfolioCVaR object
    addInequality Add linear inequality constraints for portfolio weights to existing constraints for PortfolioCVaR object
    getBounds Obtain bounds for portfolio weights from PortfolioCVaR object
    getBudget Obtain budget constraint bounds from PortfolioCVaR object
    getCosts Obtain buy and sell transaction costs from PortfolioCVaR object
    getEquality Obtain equality constraint arrays from PortfolioCVaR object
    getGroupRatio Obtain group ratio constraint arrays from PortfolioCVaR object
    getGroups Obtain group constraint arrays from PortfolioCVaR object
    getInequality Obtain inequality constraint arrays from PortfolioCVaR object
    getOneWayTurnover Obtain one-way turnover constraints from PortfolioCVaR object
    setGroups Set up group constraints for portfolio weights in PortfolioCVaR object
    setInequality Set up linear inequality constraints for portfolio weights in PortfolioCVaR object
    setBounds Set up bounds for portfolio weights in PortfolioCVaR object
    setBudget Set up budget constraints for PortfolioCVaR object
    setCosts Set up proportional transaction costs for PortfolioCVaR object
    setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1 for PortfolioCVaR object
    setEquality Set up linear equality constraints for portfolio weights in PortfolioCVaR object
    setGroupRatio Set up group ratio constraints for portfolio weights in PortfolioCVaR object
    setInitPort Set up initial or current portfolio for PortfolioCVaR object
    setOneWayTurnover Set up one-way portfolio turnover constraints for PortfolioCVaR object
    setTurnover Set up maximum turnover constraint in PortfolioCVaR object

    Validate Portfolio

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    checkFeasibility Check feasibility of input portfolios against PortfolioCVaR object
    estimateBounds Estimate global lower and upper bounds for portfolio set in PortfolioCVaR object

    Estimate Efficient Portfolios and Frontiers

    PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
    estimateFrontier Estimate specified number of optimal portfolios on efficient frontier for PortfolioCVaR object
    estimateFrontierByReturn Estimate optimal portfolios with targeted portfolio returns for PortfolioCVaR object
    estimateFrontierByRisk Estimate optimal portfolios with targeted portfolio risks for PortfolioCVaR object
    estimateFrontierLimits Estimate optimal portfolios at endpoints of efficient frontier for PortfolioCVaR object
    plotFrontier Plot single efficient frontier for PortfolioCVaR object
    estimatePortVaR Estimate value-at-risk for PortfolioCVaR object
    estimatePortStd Estimate standard deviation of portfolio returns for PortfolioCVaR object
    estimatePortReturn Estimate mean of portfolio returns for PortfolioCVaR object
    estimatePortRisk Estimate conditional value-at-risk (CVaR) portfolio risk proxy
    setSolver Choose main solver and solver options for CVaR portfolio optimization

    Mean-Absolute Deviation Portfolio Optimization

    Create Portfolio

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
    setAssetList Set up list of identifiers for assets for PortfolioMAD object
    setInitPort Set up initial or current portfolio for PortfolioMAD object
    setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1 for PortfolioMAD object

    Asset Returns and Scenarios

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
    getScenarios Obtain scenarios from PortfolioMAD object
    setScenarios Set asset returns scenarios by direct matrix for PortfolioMAD object
    estimateScenarioMoments Estimate mean and covariance of asset return scenarios in PortfolioMAD object
    simulateNormalScenariosByMoments Simulate multivariate normal asset return scenarios from mean and covariance of asset returns for PortfolioMAD object
    simulateNormalScenariosByData Estimate mean and covariance of asset returns from data for PortfolioMAD object
    setCosts Set up proportional transaction costs for PortfolioMAD object

    Specify Portfolio Constraints

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
    addEquality Add linear equality constraints for portfolio weights to existing constraints in PortfolioMAD object
    addGroupRatio Add group ratio constraints for portfolio weights to existing group ratio constraints for PortfolioMAD object
    addGroups Add group constraints for portfolio weights to existing group constraints for PortfolioMAD object
    addInequality Add linear inequality constraints for portfolio weights to existing constraints for PortfolioMAD object
    getBounds Obtain bounds for portfolio weights from PortfolioMAD object
    getBudget Obtain budget constraint bounds from PortfolioMAD object
    getCosts Obtain buy and sell transaction costs from PortfolioMAD object
    getEquality Obtain equality constraint arrays from PortfolioMAD object
    getGroupRatio Obtain group ratio constraint arrays from PortfolioMAD object
    getGroups Obtain group constraint arrays from PortfolioMAD object
    getInequality Obtain inequality constraint arrays from PortfolioMAD object
    getOneWayTurnover Obtain one-way turnover constraints from PortfolioMAD object
    setGroups Set up group constraints for portfolio weights in PortfolioMAD object
    setInequality Set up linear inequality constraints for portfolio weights in PortfolioMAD object
    setBounds Set up bounds for portfolio weights in PortfolioMAD object
    setBudget Set up budget constraints for PortfolioMAD object
    setCosts Set up proportional transaction costs for PortfolioMAD object
    setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1 for PortfolioMAD object
    setEquality Set up linear equality constraints for portfolio weights in PortfolioMAD object
    setGroupRatio Set up group ratio constraints for portfolio weights in PortfolioMAD object
    setInitPort Set up initial or current portfolio for PortfolioMAD object
    setOneWayTurnover Set up one-way portfolio turnover constraints for PortfolioMAD object
    setTurnover Set up maximum turnover constraint in PortfolioMAD object

    Validate Portfolio

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
    checkFeasibility Check feasibility of input portfolios against PortfolioMAD object
    estimateBounds Estimate global lower and upper bounds for portfolio set in PortfolioMAD object

    Estimate Efficient Portfolios and Frontiers

    PortfolioMAD PortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
    estimateFrontier Estimate specified number of optimal portfolios on efficient frontier for PortfolioMAD object
    estimateFrontierByReturn Estimate optimal portfolios with targeted portfolio returns for PortfolioMAD object
    estimateFrontierByRisk Estimate optimal portfolios with targeted portfolio risks for PortfolioMAD object
    estimateFrontierLimits Estimate optimal portfolios at endpoints of efficient frontier for PortfolioMAD object
    plotFrontier Plot single efficient frontier for PortfolioMAD object
    estimatePortStd Estimate standard deviation of portfolio returns for PortfolioMAD object
    estimatePortReturn Estimate mean of portfolio returns for PortfolioMAD object
    estimatePortRisk Estimate mean-absolute deviation (MAD) for portfolio risk proxy
    setSolver Choose main solver and solver options for MAD portfolio optimization

    Portfolio Analysis

    ewstats Expected return and covariance from return time series
    frontier Rolling efficient frontier
    portalloc Optimal capital allocation to efficient frontier portfolios
    portror Portfolio expected rate of return
    selectreturn Portfolio configurations from 3-D efficient frontier
    targetreturn Portfolio weight accuracy
    portrand Randomized portfolio risks, returns, and weights
    portsim Monte Carlo simulation of correlated asset returns
    portstats Portfolio expected return and risk
    portvar Variance for portfolio of assets
    portvrisk Portfolio value at risk (VaR)
    periodicreturns Periodic total returns from total return prices
    totalreturnprice Total return price time series

    Credit Risk

    Estimate Transition Probabilities

    transprob Estimate transition probabilities from credit ratings data
    transprobbytotals Estimate transition probabilities using totals structure input
    transprobgrouptotals Aggregate credit ratings information into fewer rating categories
    transprobprep Preprocess credit ratings data to estimate transition probabilities

    Determine Credit Quality Thresholds

    transprobfromthresholds Convert from credit quality thresholds to transition probabilities
    transprobtothresholds Convert from transition probabilities to credit quality thresholds

    Price and Analyze Financial Instruments

    Analyze Yield Curves

    disc2zero Zero curve given discount curve
    fwd2zero Zero curve given forward curve
    prbyzero Price bonds in portfolio by set of zero curves
    pyld2zero Zero curve given par yield curve
    zbtprice Zero curve bootstrapping from coupon bond data given price
    zbtyield Zero curve bootstrapping from coupon bond data given yield
    zero2disc Discount curve given zero curve
    zero2fwd Forward curve given zero curve
    zero2pyld Par yield curve given zero curve

    Price Fixed-Income Instruments

    bndprice Price fixed-income security from yield to maturity
    bndspread Static spread over spot curve
    bndtotalreturn Total return of fixed-coupon bond
    floatmargin Margin measures for floating-rate bond
    floatdiscmargin Discount margin for floating-rate bond
    prdisc Price of discounted security
    prmat Price with interest at maturity
    prtbill Price of Treasury bill
    acrubond Accrued interest of security with periodic interest payments
    acrudisc Accrued interest of discount security paying at maturity
    beytbill Bond equivalent yield for Treasury bill
    bndyield Yield to maturity for fixed-income security
    discrate Bank discount rate of money market security
    tbl2bond Treasury bond parameters given Treasury bill parameters
    tr2bonds Term-structure parameters given Treasury bond parameters
    ylddisc Yield of discounted security
    yldmat Yield with interest at maturity
    yldtbill Yield of Treasury bill
    bndconvp Bond convexity given price
    bndconvy Bond convexity given yield
    bnddurp Bond duration given price
    bnddury Bond duration given yield
    bndkrdur Bond key rate duration given zero curve
    cdai Accrued interest on certificate of deposit
    cdprice Price of certificate of deposit
    cdyield Yield on certificate of deposit (CD)
    tbilldisc2yield Convert Treasury bill discount to equivalent yield
    tbillprice Price Treasury bill
    tbillrepo Break-even discount of repurchase agreement
    tbillval01 Value of one basis point
    tbillyield Yield on Treasury bill
    tbillyield2disc Convert Treasury bill yield to equivalent discount

    Price Derivative Instruments

    binprice Binomial put and call pricing
    blkimpv Implied volatility for futures options from Black model
    blkprice Black model for pricing futures options
    blsdelta Black-Scholes sensitivity to underlying price change
    blsgamma Black-Scholes sensitivity to underlying delta change
    blsimpv Black-Scholes implied volatility
    blslambda Black-Scholes elasticity
    blsprice Black-Scholes put and call option pricing
    blsrho Black-Scholes sensitivity to interest rate change
    blstheta Black-Scholes sensitivity to time-until-maturity change
    blsvega Black-Scholes sensitivity to underlying price volatility
    opprofit Option profit

    Stochastic Differential Equation (SDE) Models

    Specification

    sde Create SDE model from user-specified functions
    sdeddo Create sdeddo model from Drift and Diffusion objects
    sdeld Construct stochastic differential equation from linear drift-rate models
    sdemrd Construct stochastic differential equation from mean-reverting drift-rate models
    bm Brownian motion models
    cev Construct constant elasticity of variance models (objects of class CEV)
    cir Cox-Ingersoll-Ross mean-reverting square root diffusion models
    gbm Create GBM model
    heston Create Heston model
    hwv Create HWV model
    drift Construct drift-rate model components
    diffusion Construct diffusion-rate model components
    ts2func Convert time series arrays to functions of time and state

    Simulation

    simulate Simulate multivariate stochastic differential equations (SDEs)
    simByEuler Euler simulation of stochastic differential equations (SDEs)
    simBySolution Simulate approximate solution of diagonal-drift HWV and GBM processes
    interpolate Brownian interpolation of stochastic differential equations
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