finance Matlab Toolbox

Preface......Page 11
Introducing the Financial Toolbox......Page 12
Expected Background......Page 13
Examples......Page 14
Related Products......Page 15
Prerequisites......Page 16
Compatibility......Page 17
Configuration Information......Page 18
Finding Additional Information......Page 19
Typographical Conventions......Page 20
Getting Started......Page 21
Referencing Matrix Elements......Page 23
Transposing Matrices......Page 25
Adding and Subtracting Matrices......Page 26
Multiplying Matrices......Page 27
Solving Simultaneous Linear Equations......Page 32
Operating Element-by-Element......Page 35
Input Arguments......Page 37
Function Output Arguments......Page 39
Interest Rate Arguments......Page 40
Tutorial......Page 41
Date Formats......Page 44
Date Conversions......Page 45
Determining Dates......Page 48
Formatting Currency......Page 52
High-Low-Close Chart Example......Page 53
Bollinger Chart Example......Page 54
Interest Rates / Rates of Return......Page 56
Depreciation......Page 57
Annuities......Page 58
Terminology......Page 60
SIA Framework......Page 62
SIA Default Parameter Values......Page 63
SIA Semi-Annual Yield Conventions......Page 66
Yield Functions......Page 67
Fixed-Income Sensitivities......Page 68
Term Structure of Interest Rates......Page 69
Sensitivity Measures......Page 72
Analysis Models......Page 73
Portfolio Optimization Functions......Page 77
Portfolio Construction Examples......Page 79
Linear Constraint Equations......Page 87
Specifying Additional Constraints......Page 90
Solving Sample Problems......Page 93
Sensitivity of Bond Prices to Changes in Interest Rates......Page 95
Constructing a Bond Portfolio to Hedge Against Duration and Convexity......Page 98
Sensitivity of Bond Prices to Parallel Shifts in the Yield Curve......Page 100
Constructing Greek-Neutral Portfolios of European Stock Options......Page 104
Term Structure Analysis and Interest Rate Swap Pricing......Page 107
Plotting an Efficient Frontier......Page 111
Plotting Sensitivities of an Option......Page 113
Plotting Sensitivities of a Portfolio of Options......Page 115
Function Reference......Page 119
Handling and Converting Dates......Page 120
Formatting Currency and Charting Financial Data......Page 122
Analyzing and Computing Cash Flows......Page 123
Fixed-Income Securities......Page 125
Analyzing Portfolios......Page 127
GARCH Processes......Page 128
Obsolete Bond Price and Yield Functions......Page 129
Alphabetical List of Functions......Page 130
Glossary......Page 409
Bibliography......Page 419
Derivatives Pricing and Yields......Page 420
Other References......Page 421
Index......Page 423