Financial Instruments Toolbox
Financial Instruments Toolbox™ provides functions for pricing, modeling, hedging, and analyzing cash flows, fixed-income securities, and derivative instruments (including equity, interest-rate, credit, and energy instruments). For interest-rate instruments, you can calculate price, yield, spread, and sensitivity values for various instrument types, including convertible bonds, mortgage-backed securities, treasury bills, bonds, swaps, caps, floors, and floating-rate notes. For derivative instruments, you can compute price, implied volatility, and Greeks using binomial trees, trinomial trees, Shifted SABR, Heston, Monte Carlo simulation, and other models. You can also connect to Numerix®CrossAsset Integration Layer for the valuation and risk management of fixed-income securities, OTC derivatives, structured products, and variable annuity products.
Getting Started
Learn the basics of Financial Instruments Toolbox
Yield Curves
Bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data
利率工具
Interest-rate instruments price, sensitivities, and term structure
Equity Derivatives
Equity options price and sensitivities
Energy Derivatives
Energy options price and sensitivities
Credit Derivatives
Credit default swap pricing and default probability curve
交易对手信用风险
Counterparty credit risk models for exposures for calculating credit value adjustment (CVA)
Mortgage-Backed Securities
Mortgage pass-through cash flows, CMO instrument pricing
Convertible Bonds
Convertible bond pricing with fixed or variable coupon rates
Numerix Interface
Numerix instruments and risk models using Numerix CROSSASSET