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Matlab financial derivative toolkit is very powerful it covers all of Paul Wilmott or John Hull quant books

(Last Updated On: July 26, 2010)

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.

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