Financial Toolbox

Analyze financial data and develop financial models

Financial Toolbox™ provides functions for the mathematical modeling and statistical analysis of financial data. You can analyze, backtest, and optimize investment portfolios taking into account turnover, transaction costs, semi-continuous constraints, and minimum or maximum number of assets. The toolbox enables you to estimate risk, model credit scorecards, analyze yield curves, price fixed-income instruments and European options, and measure investment performance.

Stochastic differential equation (SDE) tools let you model and simulate a variety of stochastic processes. Time series analysis functions let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.

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Financial Data Analytics
Portfolio Optimization and Asset Allocation
Financial Modeling

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CECL and IFRS 9 Modeling in MATLAB: Measuring Lifetime Expected Credit Losses

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Financial Data Analytics

Preprocess and analyze financial data.

Data Preprocessing

Convert date and time formats, taking into account business day conventions, day count conventions, custom trading calendars, and coupon payment dates. Use timetable capabilities in MATLAB^® to remove entries with missing data and outliers and to resample, aggregate, and synchronize time-associated data.

Preprocessing Time Series Data with MATLAB

Managing Time-Stamped Tabular Data with Timetable

Technical Indicators and Financial Charts

Compute technical indicators (including moving averages, momentums, oscillators, volume indicators, and rate of change) and create financial charts (including candlestick, open-high-low-close, and Bollinger band charts).

Financial charts and technical indicators.

Investment Performance Metrics

Evaluate investment performance using built-in functions for calculating metrics such as Sharpe ratio, information ratio, tracking error, risk-adjusted return, sample lower partial moments, expected lower partial moments, maximum drawdown, and expected maximum drawdown.

Equity curve from backtesting with performance metrics.

Portfolio Optimization and Asset Allocation

Construct, optimize, and analyze portfolios with various objectives and constraints.

Portfolio Optimization Approaches

Perform mean-variance, mean absolute deviation (MAD), and conditional value at risk (CVaR) portfolio optimizations.

Getting Started with Portfolio Optimization (4:12)

Asset Allocation - Hierarchical Risk Parity (2:42)

Portfolio optimization application built using MATLAB and Financial Toolbox.

Efficient Portfolios and Efficient Frontiers

Estimate the efficient portfolio and its weights that maximize Sharpe ratio, visualize efficient frontiers, and calculate portfolio risks, including portfolio standard deviation, MAD, VaR, and CVaR.

CVaR Portfolio Optimization (4:56)

Efficient frontier and optimal portfolio.

Portfolio Constraints and Transaction Costs

Apply portfolio optimization constraints, including tracking error, linear inequality, linear equality, bound, budget, group, group ratio, average turnover, one-way turnover, minimum number of assets, and maximum number of assets. Incorporate proportional or fixed transaction costs on either gross or net portfolio return optimization.

Efficient frontiers plot of portfolios at various turnover thresholds.

Strategy Backtesting Framework

Define investment strategies and use the backtesting framework to run backtests, analyze results, and generate performance metrics for your strategies from historical or simulated market data. Incorporate technical indicators, sentiment, and other trading signals into your strategies. The framework also supports custom transaction costs, expanding or rolling lookback windows, margin trading, and long/short portfolios.

Backtesting Strategy Framework in Financial Toolbox (2:17)

Equity curves comparing backtests of multiple investment strategies.

Financial Modeling

Analyze cash flow, price basic fixed-income securities and European options, and perform Monte Carlo simulations.

Cash Flow Analysis

Use Financial Toolbox to calculate present and future values; determine nominal, effective, and modified internal rates of return; calculate amortization and depreciation; and determine the periodic interest rate paid on loans or annuities.

Cash flow diagram.

Fixed-Income Analysis and Option Pricing

Calculate price, yield-to-maturity, duration, and convexity of fixed-income securities. Compute analytics such as complete cash flow date, cash flow amounts, and time-to-cash-flow mapping for bonds. Calculate option prices and greeks using Black and Black-Scholes formulas. You can design, price, and hedge complex financial instruments with Financial Instruments Toolbox™.

Reinforcement Learning for Trading (4:15)

Gamma and delta for a portfolio of call options.

Gamma (z-axis height) and delta (color) for a portfolio of call options.

Monte Carlo Simulation

Generate random variables for Monte Carlo simulations based on a variety of stochastic differential equation (SDE) models, including Brownian motion, geometric Brownian motion, constant elasticity of variance, Cox-Ingersoll-Ross, Hull-White/Vasicek, and Heston.