Matlab financial derivative toolkit is very powerful it covers all of Paul Wilmott or John Hull quant books
Let’s get down to the nitty gritty. It is these powerful toolkit which makes Matlab really shine in its capabilities. This one toolkit does cover two areas of derivatives. This includes for interest rate based derivatives:
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Bonds
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Bond options (puts and calls)
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Caps
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Fixed-rate notes
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Floating-rate notes
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Floors
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Swaps
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Swaption
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Callable and Puttable bonds
For equity based derivatives, you will find:
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Asian options
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Barrier options
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Compound options
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Lookback options
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Vanilla stock options (put and call options).
This financial derivative toolkit allows some expansive portfolio creation which of course include:
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Bond option
InstSet = instadd(‘OptBond’, BondIndex, OptSpec, Strike, ExerciseDates, AmericanOpt)
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Arbitrary cash flow instrument
InstSet = instadd(‘CashFlow’, CFlowAmounts, CFlowDates, Settle, Basis)
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Fixed-rate note instrument
InstSet = instadd(‘Fixed’, CouponRate, Settle, Maturity, FixedReset, Basis, Principal)
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Floating-rate note instrument
InstSet = instadd(‘Float’, Spread, Settle, Maturity, FloatReset, Basis, Principal)
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Cap instrument
InstSet = instadd(‘Cap’, Strike, Settle, Maturity, CapReset, Basis, Principal)
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Floor instrument
InstSet = instadd(‘Floor’, Strike, Settle, Maturity, FloorReset, Basis, Principal)
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Swap instrument
InstSet = instadd(‘Swap’, LegRate, Settle, Maturity, LegReset, Basis, Principal, LegType)
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Swaption instrument
InstSet = instadd(‘Swaption’, OptSpec, Strike, ExerciseDates, Spread, …
Settle, Maturity, AmericanOpt, SwapReset, Basis, Principal)
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Bond with embedded option instrument
InstSet = instadd(‘OptEmBond’, CouponRate, Settle, Maturity, OptSpec, Strike, …
ExerciseDates, ‘AmericanOpt’, AmericanOpt, ‘Period’, Period,’Basis’, Basis, …
‘EndMonthRule’, EndMonthRule,’Face’,Face,’IssueDate’, IssueDate, ‘FirstCouponDate’, …
FirstCouponDate, ‘LastCouponDate’, LastCouponDate,’StartDate’, StartDate)
The above includes the toolkit’s function as well. Also included are equity derivatives as well:
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Asian instrument
InstSet = instadd(‘Asian’, OptSpec, Strike, Settle, ExerciseDates, AmericanOpt, …
AvgType, AvgPrice, AvgDate)
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Barrier instrument
InstSet = instadd(‘Barrier’, OptSpec, Strike, Settle, ExerciseDates, AmericanOpt, …
BarrierType, Barrier, Rebate)
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Compound instrument
InstSet = instadd(‘Compound’, UOptSpec, UStrike, USettle, UExerciseDates, UAmericanOpt, …
COptSpec, CStrike, CSettle, CExerciseDates, CAmericanOpt)
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Lookback instrument
InstSet = instadd(‘Lookback’, OptSpec, Strike, Settle, ExerciseDates, AmericanOpt)
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Stock option instrument
InstSet = instadd(‘OptStock’, OptSpec, Strike, Settle, Maturity, AmericanOpt)
Different instruments and their corresponding constructors are included as well:
Instrument
Constructor
Asian option
instasian
Barrier option
instbarrier
Bond
instbond
Bond option
instoptbnd
Arbitrary cash flow
instcf
Compound option
instcompound
Fixed-rate note
instfixed
Floating-rate note
instfloat
Cap
instcap
Floor
instfloor
Lookback option
instlookback
Stock option
instoptstock
Swap
instswap
Swaption
Instswaption
There is so much in this critical toolkit, it is no wonder the professional institutional traders and analysts would use it.
