Price Fixed-Income Instruments

Analyze term structure, interest rates, accrued interest, bond prices, treasury bills, sensitivities, and yields

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 Price Interest-Rate Instruments (Financial Instruments Toolbox).

Functions

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Price Bonds

`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

Accrued Interest

`acrubond`	Accrued interest of security with periodic interest payments
`acrudisc`	Accrued interest of discount security paying at maturity

Fixed-Income Securities

`beytbill`	Bond equivalent yield for Treasury bill
`bndyield`	Yield to maturity for fixed-income security
`discrate`	Bank discount rate of 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

Bond Convexity, Duration, and Key Rate

`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

Certificate of Deposit

`cdai`	Accrued interest on certificate of deposit
`cdprice`	Price of certificate of deposit
`cdyield`	Yield on certificate of deposit (CD)

Treasury Bills

`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

Topics

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.
Bond Portfolio Optimization Using Portfolio Object
This example shows how to use a Portfolio object to construct an optimal portfolio of 10, 20, and 30 year treasuries that will be held for a period of one month.
Term Structure of Interest Rates
This example shows how to 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 shows how to construct 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 Defined
Treasury bills are short-term securities sold by the United States Treasury.