MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuale Utente Scaricare il pdf (Pagina 5)

Finite difference and Monte Carlo simulation pricing for

American spread options . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-2

Levy and Kemna-Vorst closed-form pricing and Monte Carlo

simulation pricing for Asian options . . . . . . . . . . . . . . . . . 4-3

Additional CDS option pricing functionality for index

swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-3

Pricing functions for vanilla options using Monte Carlo

simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-3

Hedging strategies using spread options example . . . . . . . . 4-4

Pricing European and American spread options example . . 4-4

First-to-default (FTD) swaps example . . . . . . . . . . . . . . . . . . . 4-4

New function for risky present value of a basis point . . . . . 4-4

optimoptions support . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-5

Functions moved from Financial Instruments Toolbox to

Financial Toolbox . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-5

R2013a

Pricing functions for options on floating-rate notes (FRNs) 5-2

Pricing functions for FRNs with embedded options . . . . . . . 5-2

Performance enhancements in implied volatility

calculations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5-2

Calibration and Monte Carlo simulation of single-factor

and multifactor interest-rate models, including Hull-White,

Linear Gaussian, and LIBOR Market Models . . . . . . . . . . . 5-3

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuale Utente Pagina 5