Financial Derivatives Toolbox
Description
- Introduction and Key Features
- Working with Equity Options
- Working with Fixed-Income Instruments
- Creating Portfolios and Hedging Strategies
Introduction
Financial Derivatives Toolbox extends Financial Toolbox with tools for analyzing and modeling equity and fixed-income derivatives and securities contingent on interest rates. You can use the toolbox to compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods.
Key Features
- Computes prices and sensitivities of vanilla and exotic equity options using the CRR, EQP, or ITT model
- Calculates the prices of any set of supported instruments based on an interest-rate structure
- Computes prices and sensitivities of fixed-income instruments using the HJM, BDT, BK, or HW model
- Provides strategies for minimizing the cost of hedging a portfolio given a set of target sensitivities, and minimizing portfolio sensitivities given maximum target costs
