An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. The Financial Instruments Toolbox™ provides additional functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions. For more information, see Interest-Rate Instruments (Financial Instruments Toolbox).
Pricing and Computing Yields for Fixed-Income Securities
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.
Computing Treasury Bill Price and Yield
Available functions for computing prices and yields on Treasury bills.
Term Structure of Interest Rates
Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.
Sensitivity of Bond Prices to Interest Rates
This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.
Bond Portfolio for Hedging Duration and Convexity
This example constructs a bond portfolio to hedge a portfolio of bonds.
Term Structure Analysis and Interest-Rate Swaps
This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.
Treasury bills are short-term securities sold by the United States Treasury.