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Price Interest-Rate Instruments

Create interest-rate instrument object, associate the object with a model, and specify pricing method

An interest-rate instrument is a derivative with a value that is linked to the movement of interest rates. This toolbox provides 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, CMS, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Create an interest-rate instrument with or without optionality.

  • To create an interest-rate instrument object without optionality, use fininstrument, associate a ratecurve object using ratecurve, and then specify a pricing method using finpricer.

  • To create an interest-rate instrument object with optionality, use fininstrument, associate a ratecurve object using ratecurve and a model object using finmodel, and then specify a pricing method using finpricer.

Functions

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fininstrumentCreate specified instrument object type (Since R2020a)
finmodelCreate specified model object type (Since R2020a)
finpricerCreate pricing method (Since R2020a)
setExercisePolicySet exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument (Since R2020b)
setPutExercisePolicySet put exercise policy for OptionEmbeddedFixedBond, OptionEmbeddedFloatBond, or ConvertibleBond instrument (Since R2020b)
setCallExercisePolicySet call exercise policy for OptionEmbeddedFixedBond, OptionEmbeddedFloatBond, or ConvertibleBond instrument (Since R2020b)
cashflowsCompute cash flow for FixedBond, FloatBond, Swap, FRA, STIRFuture, OISFuture, OvernightIndexedSwap, or Deposit instrument (Since R2020a)
fairdeliveryCompute fair delivery price of underlying asset for BondFuture, CommodityFuture, EquityIndexFuture, or FXFuture instrument (Since R2022a)
cashsettleCompute cash settlement for BondFuture, CommodityFuture, EquityIndexFuture, or FXFuture instrument (Since R2022a)
parswaprateCompute par swap rate for Swap instrument (Since R2020b)
cmsCashflowsCompute cash flows for CMS or CMSNote instrument (Since R2023a)
volatilitiesCompute implied volatilities when using SABR pricer (Since R2020b)
oasCompute option adjusted spread for OptionEmbeddedFixedBond instrument using interest-rate tree (Since R2023a)
priceCompute price for interest-rate, equity, or credit derivative instrument with Analytic pricer (Since R2020a)
priceCompute price for interest-rate instrument with Discount pricer (Since R2020a)
priceCompute price for interest-rate instrument with IRTree pricer (Since R2020a)
priceCompute price for interest-rate instrument with IRMonteCarlo pricer (Since R2021b)
priceCompute price for interest-rate instrument with Future pricer (Since R2022a)

Objects

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ratecurveCreate ratecurve object for interest-rate curve from dates and data (Since R2020a)
CMSCMS instrument object (Since R2023a)
CMSNoteCMSNote instrument object (Since R2023a)
DepositDeposit instrument object (Since R2020a)
FixedBondFixedBond instrument object (Since R2020a)
FixedBondOptionFixedBondOption instrument object (Since R2020a)
FloatBondFloatBond instrument object (Since R2020a)
FloatBondOptionFloatBondOption instrument object (Since R2020a)
OptionEmbeddedFixedBondOptionEmbeddedFixedBond instrument object (Since R2020a)
OptionEmbeddedFloatBondOptionEmbeddedFloatBond instrument object (Since R2020a)
ConvertibleBondConvertibleBond instrument object (Since R2021a)
CapCap instrument object (Since R2020a)
FloorFloor instrument object (Since R2020a)
SwapSwap instrument object (Since R2020a)
SwaptionSwaption instrument object (Since R2020a)
FRAFRA instrument object (Since R2020a)
OvernightIndexedSwapOvernightIndexedSwap instrument object (Since R2021b)
STIRFutureSTIRFuture instrument object (Since R2021b)
OISFutureOISFuture instrument object (Since R2021b)
BondFutureBondFuture instrument object (Since R2022a)
HullWhiteCreate HullWhite model object for Cap, Floor, Swaption, Swap, FixedBond, FloatBond, FloatBondOption, FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2020a)
CoxIngersollRossCreate CoxIngersollRoss model object for Cap, Floor, Swaption, Swap, FixedBond, FloatBond, FloatBondOption, FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2023b)
CMSConvexityHullCreate CMSConvexityHull model object for CMS or CMSNote instrument (Since R2023a)
BlackKarasinskiCreate BlackKarasinski model object for a Cap, FloorSwaption, Swap, FloatBond, FixedBond, FixedBondOption, FloatBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2020a)
BlackDermanToyCreate BlackDermanToy model object for a Cap, Floor, Swaption, Swap, FloatBond, FixedBond, FixedBondOption, FloatBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2022b)
BlackCreate Black model object for Cap, Floor, or Swaption instrument (Since R2020a)
NormalCreate Normal model object for Cap, Floor, or Swaption instrument (Since R2020a)
SABRCreate SABR model object for Swaption instrument (Since R2020a)
SABRBraceGatarekMusielaCreate SABRBraceGatarekMusiela model object for Cap, Floor, FixedBond, FloatBond, FloatBondOption, FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2021b)
BraceGatarekMusielaCreate BraceGatarekMusiela model object for Cap, Floor, FixedBond, FloatBond, FloatBondOption, FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2021b)
LinearGaussian2FCreate LinearGaussian2F model object for Cap, Floor, Swaption, Swap, FixedBond, FloatBond, FloatBondOption, FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2021b)
DiscountCreate Discount pricer object for Deposit, FRA, Swap, FixedBond, FloatBond, OISFuture, STIRFuture, and OvernightIndexedSwap using ratecurve object (Since R2020a)
CMSConvexityHullCreate CMSConvexityHull pricer object for CMS or CMSNote instrument using CMSConvexityHull model (Since R2023a)
IRTreeCreate IRTree pricer object for Cap, Floor, Swap, Swaption, FloatBond, FixedBond, FixedBondOption, FloatBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument (Since R2020a)
IRMonteCarloCreate IRMonteCarlo pricer object for interest-rate instruments using HullWhite, BraceGatarekMusiela, BlackKarasinski, or LinearGaussian2F model (Since R2021b)
NormalCreate Normal pricer object for Cap, Floor, or Swaption instrument using Normal model (Since R2020a)
SABRCreate SABR pricer object for Swaption instrument using SABR model (Since R2020a)
BlackCreate Black pricer object for Cap, Floor, or Swaption instrument using Black model (Since R2020a)
HullWhiteCreate HullWhite pricer object for Cap, Floor, or Swaption instrument using HullWhite model (Since R2020a)
FutureCreate Future pricer object for BondFuture, CommodityFuture, EquityIndexFuture, and FXFuture using ratecurve object (Since R2022a)

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