fbpx

Matlab fixed income toolkit includes mortgage backed securities, debt instruments, interest rate curve objects, and derivative securities

(Last Updated On: July 26, 2010)

Matlab fixed income toolkit includes mortgage backed securities, debt instruments, interest rate curve objects, and derivative securities
As a newcomer to all of this, Matlab is a fantastic starting point to learn all this not just on the math side, but the business side as well. Matlab’s help file description is very simple and easy to pick up from. It also includes lots of demos and videos to get you started.
There are supported tasks which include:
*

Calculate the price and yield for generic fixed-rate mortgage pools and balloon mortgages.
*

Determine the price, yield, discount rate, and cash-flow schedule for debt instruments, including Treasury bills, zero-coupon bonds, and stepped-coupon bonds.
*

Calculate swap rates and sensitivities.
*

Analyze the term structure of interest rates, including bootstrapping and fitting the term structure to market data using parametric models.
The mortgage back securities tools were provided for:
*

Calculating the price and yield of mortgage-backed securities using prepayment options derived from uniform practices of the Public Securities Association (PSA)
*

Determining the mortgage-pool price or effective duration using the option-adjusted spread (OAS) method
*

Calculating basic risk measurements for a mortgage-pool portfolio using convexity, duration, and average life
Many of the rate fixed income pool functions enable you to include input parameters like:
*

Gross coupon rate
*

Settlement date
*

Issue (effective) date
*

Maturity date
For those needing to see Matlab examples, this toolkit help also include examples on risk measurement, mortgage pool valuation, computing option adjusted spreads, payments with fewer than 360 months, and pools with different number of coupons remaining.
There are many more example functions included in this help. They focus on zero based coupons, stepped coupon bonds, term structure calculations, derivative securities (pricing and hedging, bond futures), and interest rate curve objects.
The above is just to wet your appetite just to show Matlab’s capabilities in the fixed income world.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
Don't miss out!
Get my TRADE LIKE A BOSS 2 PDF Books

You will received instantly the download links.

Invalid email address
Give it a try. You can unsubscribe at any time.

NOTE!

Check NEW site on stock forex and ETF analysis and automation

Scroll to Top