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Financial Toolbox Functions

Alphabetical List By Category

Data Preprocessing

nowCurrent date and time as serial date number
todayCurrent date
datefindIndices of dates in matrix
datevecConvert date and time to vector of components
datetimeArrays that represent points in time
dayDay of month
eomdateLast date of month
hourHour of date or time
lweekdateDate of last occurrence of weekday in month
secondSeconds of date or time
minuteMinute of date or time
monthMonth of date
monthsNumber of whole months between dates
nweekdateDate of specific occurrence of weekday in month
weeknumWeek in year
yearYear of date
yeardaysNumber of days in year
date2timeTime and frequency from dates
datedispDisplay date entries
datenumConvert date and time to serial date number
datestrConvert date and time to string format
m2xdateMATLAB date to Excel serial date number
time2dateDates from time and frequency
uicalendarGraphical calendar
x2mdateExcel serial date number to MATLAB serial date number or datetime format
busdateNext or previous business day
busdaysBusiness days for given period
datemnthDate of day in future or past month
datewrkdyDate of future or past workday
days360Days between dates based on 360-day year
days360eDays between dates based on 360-day year (European)
days360isdaDays between dates based on 360-day year (International Swap Dealer Association (ISDA) compliant)
days360psaDays between dates based on 360-day year (Public Securities Association (PSA) compliant)
days365Days between dates based on 365-day year
daysactActual number of days between dates
daysaddDate away from starting date for any day-count basis
daysdifDays between dates for any for any day-count basis
fbusdateFirst business date of month
isbusdayTrue for dates that are business days
lbusdateLast business date of month
quarterReturns the quarter of given date
thirdwednesdayFind third Wednesday of month
wrkdydifNumber of working days between dates
yearfracFraction of year between dates
createholidaysCreate trading calendars
holidaysHolidays and nontrading days
nyseclosuresNew York Stock Exchange closures from 1885 to 2070
accrfracFraction of coupon period before settlement
cpncountCoupon payments remaining until maturity
cpndatenNext coupon date for fixed-income security
cpndatenqNext quasi-coupon date for fixed-income security
cpndatepqPrevious quasi-coupon date for fixed-income security
cpndatepPrevious coupon date for fixed-income security
cpndaysnNumber of days to next coupon date
cpndayspNumber of days since previous coupon date
cpnperszNumber of days in coupon period
cur2fracDecimal currency values to fractional values
cur2strBank-formatted text
dec2thirtytwoDecimal to thirty-second quotation
frac2curFractional currency value to decimal value
thirtytwo2decThirty-second quotation to decimal

Financial Time Series

Create Time Series

fintsConstruct financial time series object
ascii2ftsCreate financial time series object from ASCII file
fts2asciiWrite elements of time series data into ASCII file
fts2matConvert to matrix

Transform Time Series

boxcoxBox-Cox transformation
diffDifferencing
filltsFill missing values in time series
filterLinear filtering
lagtsLag time series object
leadtsLead time series object
peravgPeriodic average of FINTS object
resampletsDownsample data
smoothtsSmooth data
tsmovavg Moving average
convert2surConvert multivariate normal regression model to seemingly unrelated regression (SUR) model
converttoConvert to specified frequency
toannualConvert to annual
todailyConvert to daily
tomonthlyConvert to monthly
toquarterlyConvert to quarterly
tosemiConvert to semiannual
toweeklyConvert to weekly

Merge Time Series

mergeMerge multiple financial time series objects
horzcatConcatenate financial time series objects horizontally
vertcatConcatenate financial time series objects vertically

Analyze Time Series

Descriptive Statistics

corrcoefCorrelation coefficients
covCovariance matrix
isempty True for empty financial time series objects
nancovCovariance ignoring NaNs
nanmaxMaximum ignoring NaNs
nanmeanMean ignoring NaNs
nanmedianMedian ignoring NaNs
nanminMinimum ignoring NaNs
nanstdStandard deviation ignoring NaNs
nansumSum ignoring NaNs
nanvarVariance ignoring NaNs
varVariance

Arithmetic and Math Operations

cumsumCumulative sum
endLast date entry
horzcatConcatenate financial time series objects horizontally
lengthGet number of dates (rows)
minusFinancial time series subtraction
mrdivideFinancial time series matrix division
mtimesFinancial time series matrix multiplication
plusFinancial time series addition
powerFinancial time series power
rdivideFinancial time series division
sizeNumber of dates and data series
subsasgnContent assignment
subsrefSubscripted reference
timesFinancial time series multiplication
uminusUnary minus of financial time series object
uplusUnary plus of financial time series object
vertcatConcatenate financial time series objects vertically
cumsumCumulative sum
expExponential values
histHistogram
logNatural logarithm
log10Common logarithm
log2Base 2 logarithm
maxMaximum value
meanArithmetic average
minMinimum value
stdStandard deviation

Data Extraction

chfieldChange data series name
eq (fts)Multiple financial times series object equality
extfieldData series extraction
fetchData from financial time series object
fieldnamesGet names of fields
freqnumConvert character vector frequency indicator to numeric frequency indicator
freqstrConvert numeric frequency indicator to character vector representation
ftsboundStart and end dates
ftsinfoFinancial time series object information
ftsuniqDetermine uniqueness
getfieldContent of specific field
getnameidxFind name in list
iscompatibleStructural equality
isequalMultiple object equality
isfieldCheck whether character vector is field name
issortedCheck whether dates and times are monotonically increasing
rmfieldRemove data series
setfieldSet content of specific field
sortftsSort financial time series
ftstoolFinancial Time Series app
ftsguiFinancial time series GUI

Chart Technical Indicators

adoscAccumulation/Distribution oscillator
chaikoscChaikin oscillator
macdMoving Average Convergence/Divergence (MACD)
stochoscStochastic oscillator
tsaccelAcceleration between times
tsmomMomentum between times
chaikvolatChaikin volatility
fpctkdFast stochastics
spctkdSlow stochastics
willpctrWilliams %R
negvolidxNegative volume index
posvolidxPositive volume index
rsindexRelative Strength Index (RSI)
adlineAccumulation/Distribution line
bollingerTime series Bollinger band
candle (fts)Time series candle plot
hhighHighest high
highlow (fts)Time series High-Low plot
llowLowest low
medpriceMedian price
onbalvolOn-Balance Volume (OBV)
prcrocPrice rate of change
pvtrendPrice and Volume Trend (PVT)
typpriceTypical price
volrocVolume rate of change
wcloseWeighted close
willadWilliams Accumulation/Distribution line
chartftsInteractive display
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

annuratePeriodic interest rate of annuity
annutermNumber of periods to obtain value
payadvPeriodic payment given number of advance payments
payoddPayment of loan or annuity with odd first period
payperPeriodic payment of loan or annuity
payuniUniform payment equal to varying cash flow
amortizeAmortization schedule
depfixdbFixed declining-balance depreciation schedule
depgendbGeneral declining-balance depreciation schedule
deprdvRemaining depreciable value
depsoydSum of years' digits depreciation
depstlnStraight-line depreciation schedule
pvfixPresent value with fixed periodic payments
pvvarPresent value of varying cash flow
fvdiscFuture value of discounted security
fvfixFuture value with fixed periodic payments
fvvarFuture value of varying cash flow
effrrEffective rate of return
elpmCompute expected lower partial moments for normal asset returns
irrInternal rate of return
mirrModified internal rate of return
nomrrNominal rate of return
taxedrrAfter-tax rate of return
xirrInternal rate of return for nonperiodic cash flow
cfconvCash flow convexity
cfdurCash-flow duration and modified duration
cfamountsCash flow and time mapping for bond portfolio
cfportPortfolio form of cash flow amounts
cftimesTime factors corresponding to bond cash flow dates
cfdatesCash flow dates for fixed-income security
cfdatesqQuasi-coupon dates for fixed-income security
cfpriceCompute price for cash flow given yield to maturity
cfplotVisualize cash flows of financial instruments
cfspreadCompute spread over yield curve for cash flow
cfyieldCompute yield to maturity for cash flow given price
cfbyzeroPrice cash flows from set of zero curves
tmfactorTime factors of arbitrary dates
cur2fracDecimal currency values to fractional values
cur2strBank-formatted text
dec2thirtytwoDecimal to thirty-second quotation
frac2curFractional currency value to decimal value
thirtytwo2decThirty-second quotation to decimal
todecimalFractional to decimal conversion
toquotedDecimal to fractional conversion

Investment Performance Metrics

elpmCompute expected lower partial moments for normal asset returns
emaxdrawdownCompute expected maximum drawdown for Brownian motion
inforatioCalculate information ratio for one or more assets
lpmCompute sample lower partial moments of data
maxdrawdownCompute maximum drawdown for one or more price series
portalphaCompute risk-adjusted alphas and returns for one or more assets
sharpeCompute Sharpe ratio for one or more assets

Multivariate Normal Regression

ecmnfishFisher information matrix
ecmmvnrfishFisher information matrix for multivariate normal regression model
ecmnhessHessian of negative log-likelihood function
ecmninitInitial mean and covariance
ecmnobjMultivariate normal negative log-likelihood function
ecmnmleMean and covariance of incomplete multivariate normal data
ecmnstdStandard errors for mean and covariance of incomplete data
ecmmvnrstdEvaluate standard errors for multivariate normal regression model
mvnrmleMultivariate normal regression (ignore missing data)
ecmmvnrobjLog-likelihood function for multivariate normal regression with missing data
ecmlsrmleLeast-squares regression with missing data
ecmlsrmleLeast-squares regression with missing data
mvnrfishFisher information matrix for multivariate normal or least-squares regression
mvnrobjLog-likelihood function for multivariate normal regression without missing data
mvnrstdEvaluate standard errors for multivariate normal regression model
convert2surConvert multivariate normal regression model to seemingly unrelated regression (SUR) model

Data Transformation

abs2activeConvert constraints from absolute to active format
active2absConvert constraints from active to absolute format
arith2geomArithmetic to geometric moments of asset returns
corr2covConvert standard deviation and correlation to covariance
cov2corrConvert covariance to standard deviation and correlation coefficient
geom2arithGeometric to arithmetic moments of asset returns
holdings2weightsPortfolio holdings into weights
ret2tickConvert return series to price series
tick2retConvert price series to return series
weights2holdingsPortfolio values and weights into holdings

Life Tables

lifetableconvConvert life table series into life tables with forced termination
lifetablefitCalibrate life table from survival data with parametric models
lifetablegenGenerate life table series from calibrated mortality model

Chart Financial Data

bar, barhBar chart
bar3, bar3h3-D bar chart
bollingBollinger band chart
candleCandlestick chart
cfplotVisualize cash flows of financial instruments
dateaxisConvert serial-date axis labels to calendar-date axis labels
fanplotPlot combined historical and forecast data to visualize possible outcomes
highlowHigh, low, open, close chart
kagiKagi chart
linebreakLine break chart
movavgLeading and lagging moving averages chart
plotPlot data series
pointfigPoint and figure chart
priceandvolPrice and volume chart
renkoRenko chart
volareaPrice and volume chart

Portfolio Optimization and Asset Allocation

Portfolio Optimization Theory

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis

Mean-Variance Portfolio Optimization

Create Portfolio

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
PortfolioCreate Portfolio object for mean-variance portfolio optimization
setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1

Estimate Mean and Covariance for Returns

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
getAssetMomentsObtain mean and covariance of asset returns from Portfolio object
setAssetMoments Set moments (mean and covariance) of asset returns for Portfolio object
estimateAssetMomentsEstimate mean and covariance of asset returns from data
setCostsSet up proportional transaction costs

Specify Portfolio Constraints

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
addEqualityAdd linear equality constraints for portfolio weights to existing constraints
addGroupRatioAdd group ratio constraints for portfolio weights to existing group ratio constraints
addGroupsAdd group constraints for portfolio weights to existing group constraints
addInequalityAdd linear inequality constraints for portfolio weights to existing constraints
getBoundsObtain bounds for portfolio weights from portfolio object
getBudgetObtain budget constraint bounds from portfolio object
getCostsObtain buy and sell transaction costs from portfolio object
getEqualityObtain equality constraint arrays from portfolio object
getGroupRatioObtain group ratio constraint arrays from portfolio object
getGroupsObtain group constraint arrays from portfolio object
getInequalityObtain inequality constraint arrays from portfolio object
getOneWayTurnoverObtain one-way turnover constraints from portfolio object
setGroupsSet up group constraints for portfolio weights
setInequalitySet up linear inequality constraints for portfolio weights
setBoundsSet up bounds for portfolio weights
setBudgetSet up budget constraints
setCostsSet up proportional transaction costs
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setEqualitySet up linear equality constraints for portfolio weights
setGroupRatioSet up group ratio constraints for portfolio weights
setInitPortSet up initial or current portfolio
setOneWayTurnoverSet up one-way portfolio turnover constraints
setTurnoverSet up maximum portfolio turnover constraint
setTrackingPortSet up benchmark portfolio for tracking error constraint
setTrackingErrorSet up maximum portfolio tracking error constraint

Validate Portfolio

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
checkFeasibilityCheck feasibility of input portfolios against portfolio object
estimateBoundsEstimate global lower and upper bounds for set of portfolios

Estimate Efficient Portfolios and Frontiers

PortfolioPortfolio object for mean-variance portfolio optimization and analysis
estimateFrontierEstimate specified number of optimal portfolios on the efficient frontier
estimateFrontierByReturnEstimate optimal portfolios with targeted portfolio returns
estimateFrontierByRiskEstimate optimal portfolios with targeted portfolio risks
estimateFrontierLimitsEstimate optimal portfolios at endpoints of efficient frontier
plotFrontierPlot efficient frontier
estimateMaxSharpeRatio Estimate efficient portfolio to maximize Sharpe ratio for Portfolio object
estimatePortMoments Estimate moments of portfolio returns for Portfolio object
estimatePortReturnEstimate mean of portfolio returns
estimatePortRiskEstimate portfolio risk according to risk proxy associated with corresponding object
setSolverChoose main solver and specify associated solver options for portfolio optimization

Conditional Value-at-Risk Portfolio Optimization

Create Portfolio

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
PortfolioCVaRCreate PortfolioCVaR object for conditional value-at-risk portfolio optimization
setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setProbabilityLevelSet probability level for VaR and CVaR calculations

Asset Returns and Scenarios

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
getScenariosObtain scenarios from portfolio object
setScenariosSet asset returns scenarios by direct matrix
estimateScenarioMomentsEstimate mean and covariance of asset return scenarios
simulateNormalScenariosByMomentsSimulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByDataSimulate multivariate normal asset return scenarios from data
setCostsSet up proportional transaction costs

Specify Portfolio Constraints

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
addEqualityAdd linear equality constraints for portfolio weights to existing constraints
addGroupRatioAdd group ratio constraints for portfolio weights to existing group ratio constraints
addGroupsAdd group constraints for portfolio weights to existing group constraints
addInequalityAdd linear inequality constraints for portfolio weights to existing constraints
getBoundsObtain bounds for portfolio weights from portfolio object
getBudgetObtain budget constraint bounds from portfolio object
getCostsObtain buy and sell transaction costs from portfolio object
getEqualityObtain equality constraint arrays from portfolio object
getGroupRatioObtain group ratio constraint arrays from portfolio object
getGroupsObtain group constraint arrays from portfolio object
getInequalityObtain inequality constraint arrays from portfolio object
getOneWayTurnoverObtain one-way turnover constraints from portfolio object
setGroupsSet up group constraints for portfolio weights
setInequalitySet up linear inequality constraints for portfolio weights
setBoundsSet up bounds for portfolio weights
setBudgetSet up budget constraints
setCostsSet up proportional transaction costs
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setEqualitySet up linear equality constraints for portfolio weights
setGroupRatioSet up group ratio constraints for portfolio weights
setInitPortSet up initial or current portfolio
setOneWayTurnoverSet up one-way portfolio turnover constraints
setTurnoverSet up maximum portfolio turnover constraint

Validate Portfolio

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
checkFeasibilityCheck feasibility of input portfolios against portfolio object
estimateBoundsEstimate global lower and upper bounds for set of portfolios

Estimate Efficient Portfolios and Frontiers

PortfolioCVaRPortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis
estimateFrontierEstimate specified number of optimal portfolios on the efficient frontier
estimateFrontierByReturnEstimate optimal portfolios with targeted portfolio returns
estimateFrontierByRiskEstimate optimal portfolios with targeted portfolio risks
estimateFrontierLimitsEstimate optimal portfolios at endpoints of efficient frontier
plotFrontierPlot efficient frontier
estimatePortVaREstimate value-at-risk for PortfolioCVaR object
estimatePortStdEstimate standard deviation of portfolio returns
estimatePortReturnEstimate mean of portfolio returns
estimatePortRiskEstimate portfolio risk according to risk proxy associated with corresponding object
setSolverChoose main solver and specify associated solver options for portfolio optimization

Mean-Absolute Deviation Portfolio Optimization

Create Portfolio

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
PortfolioMADCreate PortfolioMAD object for mean-absolute deviation portfolio optimization
setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1

Asset Returns and Scenarios

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
getScenariosObtain scenarios from portfolio object
setScenariosSet asset returns scenarios by direct matrix
estimateScenarioMomentsEstimate mean and covariance of asset return scenarios
simulateNormalScenariosByMomentsSimulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByDataSimulate multivariate normal asset return scenarios from data
setCostsSet up proportional transaction costs

Specify Portfolio Constraints

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
addEqualityAdd linear equality constraints for portfolio weights to existing constraints
addGroupRatioAdd group ratio constraints for portfolio weights to existing group ratio constraints
addGroupsAdd group constraints for portfolio weights to existing group constraints
addInequalityAdd linear inequality constraints for portfolio weights to existing constraints
getBoundsObtain bounds for portfolio weights from portfolio object
getBudgetObtain budget constraint bounds from portfolio object
getCostsObtain buy and sell transaction costs from portfolio object
getEqualityObtain equality constraint arrays from portfolio object
getGroupRatioObtain group ratio constraint arrays from portfolio object
getGroupsObtain group constraint arrays from portfolio object
getInequalityObtain inequality constraint arrays from portfolio object
getOneWayTurnoverObtain one-way turnover constraints from portfolio object
setGroupsSet up group constraints for portfolio weights
setInequalitySet up linear inequality constraints for portfolio weights
setBoundsSet up bounds for portfolio weights
setBudgetSet up budget constraints
setCostsSet up proportional transaction costs
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setEqualitySet up linear equality constraints for portfolio weights
setGroupRatioSet up group ratio constraints for portfolio weights
setInitPortSet up initial or current portfolio
setOneWayTurnoverSet up one-way portfolio turnover constraints
setTurnoverSet up maximum portfolio turnover constraint

Validate Portfolio

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
checkFeasibilityCheck feasibility of input portfolios against portfolio object
estimateBoundsEstimate global lower and upper bounds for set of portfolios

Estimate Efficient Portfolios and Frontiers

PortfolioMADPortfolioMAD object for mean-absolute deviation portfolio optimization and analysis
estimateFrontierEstimate specified number of optimal portfolios on the efficient frontier
estimateFrontierByReturnEstimate optimal portfolios with targeted portfolio returns
estimateFrontierByRiskEstimate optimal portfolios with targeted portfolio risks
estimateFrontierLimitsEstimate optimal portfolios at endpoints of efficient frontier
plotFrontierPlot efficient frontier
estimatePortStdEstimate standard deviation of portfolio returns
estimatePortReturnEstimate mean of portfolio returns
estimatePortRiskEstimate portfolio risk according to risk proxy associated with corresponding object
setSolverChoose main solver and specify associated solver options for portfolio optimization

Portfolio Analysis

ewstatsExpected return and covariance from return time series
frontierRolling efficient frontier
portallocOptimal capital allocation to efficient frontier portfolios
portrorPortfolio expected rate of return
selectreturnPortfolio configurations from 3-D efficient frontier
targetreturnPortfolio weight accuracy
portrandRandomized portfolio risks, returns, and weights
portoptPortfolios on constrained efficient frontier
portsimMonte Carlo simulation of correlated asset returns
portstatsPortfolio expected return and risk
portvarVariance for portfolio of assets
portvriskPortfolio value at risk (VaR)
periodicreturnsPeriodic total returns from total return prices
totalreturnpriceTotal return price time series

Credit Risk

Estimate Transition Probabilities

transprobEstimate transition probabilities from credit ratings data
transprobbytotalsEstimate transition probabilities using totals structure input
transprobgrouptotalsAggregate credit ratings information into fewer rating categories
transprobprepPreprocess credit ratings data to estimate transition probabilities

Determine Credit Quality Thresholds

transprobfromthresholdsConvert from credit quality thresholds to transition probabilities
transprobtothresholdsConvert from transition probabilities to credit quality thresholds

Create Credit Scorecards

creditscorecardCreate creditscorecard object to build credit scorecard model
autobinningPerform automatic binning of given predictors
bininfoReturn predictor’s bin information
predictorinfoSummary of credit scorecard predictor properties
modifybinsModify predictor’s bins
modifypredictorSet properties of credit scorecard predictors
bindataBinned predictor variables
plotbinsPlot histogram counts for predictor variables
fitmodelFit logistic regression model to Weight of Evidence (WOE) data
setmodelSet model predictors and coefficients
displaypointsReturn points per predictor per bin
formatpointsFormat scorecard points and scaling
scoreCompute credit scores for given data
probdefaultLikelihood of default for given data set
validatemodelValidate quality of credit scorecard model

Credit Default Swaps

cdsbootstrapBootstrap default probability curve from credit default swap market quotes
cdspriceDetermine price for credit default swap
cdsspreadDetermine spread of credit default swap
cdsrpv01 Compute risky present value of a basis point for credit default swap

Bootstrap Default Probabilities from Bonds

bondDefaultBootstrapBootstrap default probability curve from bond prices

Counterparty Credit Risk

creditexposuresCompute credit exposures from contract values
exposureprofilesCompute exposure profiles from credit exposures

Price and Analyze Financial Instruments

Analyze Yield Curves

disc2zeroZero curve given discount curve
fwd2zeroZero curve given forward curve
prbyzeroPrice bonds in portfolio by set of zero curves
pyld2zeroZero curve given par yield curve
zbtpriceZero curve bootstrapping from coupon bond data given price
zbtyieldZero curve bootstrapping from coupon bond data given yield
zero2discDiscount curve given zero curve
zero2fwdForward curve given zero curve
zero2pyldPar yield curve given zero curve

Price Fixed-Income Instruments

bndpricePrice fixed-income security from yield to maturity
bndspreadStatic spread over spot curve
bndtotalreturnTotal return of fixed-coupon bond
floatmarginMargin measures for floating-rate bond
floatdiscmarginDiscount margin for floating-rate bond
prdiscPrice of discounted security
prmatPrice with interest at maturity
prtbillPrice of Treasury bill
acrubondAccrued interest of security with periodic interest payments
acrudiscAccrued interest of discount security paying at maturity
beytbillBond equivalent yield for Treasury bill
bndyieldYield to maturity for fixed-income security
discrateBank discount rate of money market security
tbl2bondTreasury bond parameters given Treasury bill parameters
tr2bondsTerm-structure parameters given Treasury bond parameters
ylddiscYield of discounted security
yldmatYield with interest at maturity
yldtbillYield of Treasury bill
bndconvpBond convexity given price
bndconvyBond convexity given yield
bnddurpBond duration given price
bndduryBond duration given yield
bndkrdurBond key rate duration given zero curve
cdaiAccrued interest on certificate of deposit
cdpricePrice of certificate of deposit
cdyieldYield on certificate of deposit (CD)
tbilldisc2yieldConvert Treasury bill discount to equivalent yield
tbillpricePrice Treasury bill
tbillrepoBreak-even discount of repurchase agreement
tbillval01Value of one basis point
tbillyieldYield on Treasury bill
tbillyield2discConvert Treasury bill yield to equivalent discount

Price Derivative Instruments

binpriceBinomial put and call American option pricing using Cox-Ross-Rubinstein model
blkimpvImplied volatility for futures options from Black model
blkpriceBlack model for pricing futures options
blsdeltaBlack-Scholes sensitivity to underlying price change
blsgammaBlack-Scholes sensitivity to underlying delta change
blsimpvBlack-Scholes implied volatility
blslambdaBlack-Scholes elasticity
blspriceBlack-Scholes put and call option pricing
blsrhoBlack-Scholes sensitivity to interest-rate change
blsthetaBlack-Scholes sensitivity to time-until-maturity change
blsvegaBlack-Scholes sensitivity to underlying price volatility
opprofitOption profit

Stochastic Differential Equation (SDE) Models

Specification

sdeStochastic Differential Equation (SDE) model
bmBrownian motion models
cevConstant Elasticity of Variance (CEV) models
cirCox-Ingersoll-Ross mean-reverting square root diffusion models
diffusionDiffusion-rate model component
driftDrift-rate model component
gbmGeometric Brownian motion model
hestonHeston model
hwvHull-White/Vasicek Gaussian Diffusion model
sdeddoStochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeldSDE with Linear Drift model
sdemrdSDE with Mean-Reverting Drift model
sdeConstruct SDE model from user-specified functions
bmConstruct Brownian motion models
cevConstruct Constant Elasticity of Variance (CEV) models
cirConstruct Cox-Ingersoll-Ross mean-reverting square root diffusion models
driftConstruct drift-rate model components
diffusionConstruct diffusion-rate model components
gbmConstruct GBM model
hestonConstruct Heston model
hwvConstruct HWV model
sdeddoConstruct sdeddo model from Drift and Diffusion objects
sdeldConstruct stochastic differential equation from linear drift-rate models
sdemrdConstruct stochastic differential equation from mean-reverting drift-rate models
ts2funcConvert time series arrays to functions of time and state

Simulation

sdeStochastic Differential Equation (SDE) model
bmBrownian motion models
cevConstant Elasticity of Variance (CEV) models
cirCox-Ingersoll-Ross mean-reverting square root diffusion models
diffusionDiffusion-rate model component
driftDrift-rate model component
gbmGeometric Brownian motion model
hestonHeston model
hwvHull-White/Vasicek Gaussian Diffusion model
sdeddoStochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeldSDE with Linear Drift model
sdemrdSDE with Mean-Reverting Drift model
simulateSimulate multivariate stochastic differential equations (SDEs)
simByEulerEuler simulation of stochastic differential equations (SDEs)
simBySolutionSimulate approximate solution of diagonal-drift GBM processes
simBySolutionSimulate approximate solution of diagonal-drift HWV processes
interpolateBrownian interpolation of stochastic differential equations
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