MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuale Utente Scaricare il pdf (Pagina 4)

iv Contents

R2014a

Dual curve construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-2

Dual curve pricing of caps, floors, and swaptions using the

Black model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-2

Dual curve pricing of swaps and floating-rate notes . . . . . . 3-2

Monte Carlo and analytical pricing of lookback options . . . 3-2

Implied Black volatility computation for the SABR stochastic

volatility model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-3

User-specified simulation paths for Longstaff-Schwartz

pricing functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-3

creditexposures function to compute credit exposures from

mark-to-market OTC contract values . . . . . . . . . . . . . . . . . 3-3

exposureprofiles function to derive credit exposure profiles

from credit exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-3

Enhanced pricing functions for instruments and portfolios

with cash flows between tree levels . . . . . . . . . . . . . . . . . . 3-3

Swing option pricing example . . . . . . . . . . . . . . . . . . . . . . . . . 3-3

R2013b

Support for Numerix CrossAsset Integration Layer (CAIL)

API . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-2

Kirk's approximation and Bjerksund-Stensland closed-form

pricing models for spread options . . . . . . . . . . . . . . . . . . . . 4-2

1 2 3 4 5 6 7 8 9 ... 29 30

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuale Utente Pagina 4