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دانلود کتاب MathWorks. Financial Instruments Toolbox™ User's Guide
دانلود کتاب MathWorks. راهنمای کاربر جعبه ابزار ابزارهای مالی ™
مشخصات کتاب
MathWorks. Financial Instruments Toolbox™ User's Guide
ویرایش:
نویسندگان: The MathWorks. Inc.
سری:
ناشر: The MathWorks, Inc.
سال نشر: 2022
تعداد صفحات: [4124]
زبان: English
فرمت فایل : PDF (درصورت درخواست کاربر به PDF، EPUB یا AZW3 تبدیل می شود)
حجم فایل: 17 Mb
قیمت کتاب (تومان) : 42,000
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فهرست مطالب
Getting Started Financial Instruments Toolbox Product Description Interest-Rate-Based Derivatives Equity-Based Derivatives Expected Users Portfolio Creation Using Functions Introduction Interest-Rate-Based Derivatives Equity Derivatives Adding Instruments to an Existing Portfolio Using Functions Pricing a Portfolio Using the Black-Derman-Toy Model Instrument Construction and Portfolio Management Using Functions Instrument Constructors Creating Instruments or Properties Searching or Subsetting a Portfolio Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments Workflow to Price an Interest-Rate Instrument Price Vanilla Fixed Bond Instrument Using ratecurve and Discount Pricer Workflow to Price an Inflation Instrument Analyze Inflation-Indexed Instruments Workflow to Price an Equity, Commodity, or FX Instrument Price Vanilla Instrument Using Black-Scholes Model and Black-Scholes Pricer Workflow to Price a Credit Derivative Instrument Price CDS Instrument Using Default Probability Curve and Credit Pricer Workflow to Create and Price a Portfolio of Instruments Create and Price Portfolio of Instruments Workflow for Creating and Analyzing a ratecurve and parametercurve Convert RateSpec to a ratecurve Object Workflow for Creating and Analyzing a defprobcurve Choose Instruments, Models, and Pricers Interest-Rate Instruments with Associated Models and Pricers Equity, Commodity, FX, and Energy Instruments with Associated Models and Pricers Inflation Instruments with Associated Models and Pricers Credit Derivative Instruments with Associated Models and Pricers Supported Exercise Styles Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers Mapping Financial Instruments Toolbox Functions for Interest-Rate Instrument Objects Mapping Financial Instruments Toolbox Functions for Equity, Commodity, FX Instrument Objects Mapping Financial Instruments Toolbox Functions for Credit Derivative Instrument Objects Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers Price Weather Derivatives Interest-Rate Derivatives Supported Interest-Rate Instrument Functions Bond Convertible Bond Stepped Coupon Bonds Sinking Fund Bonds Bonds with an Amortization Schedule Bond Options Bond with Embedded Options Stepped Coupon Bonds with Calls and Puts Sinking Fund Bonds with an Embedded Option Amortizing Callable or Puttable Bond Fixed-Rate Note Floating-Rate Note Floating-Rate Note with an Amortization Schedule Floating-Rate Note with Caps, Collars, and Floors Floating-Rate Note Options Floating-Rate Note with Embedded Options Cap Floor Range Note Swap Swap with an Amortization Schedule Forward Swap Swaption Bond Futures Work with Negative Interest Rates Using Functions Interest-Rate Modeling Options for Negative Rates Modeling Negative Rates Work with Negative Interest Rates Using Objects Interest-Rate Modeling Options for Negative Rates Modeling Negative Rates Price Swaptions with Negative Strikes Using the Shifted SABR Model Calibrate the SABR Model Load Market Implied Black Volatility Data Method 1: Calibrate Alpha, Rho, and Nu Directly Method 2: Calibrate Rho and Nu by Implying Alpha from At-The-Money Volatility Use the Calibrated Models References Price a Swaption Using the SABR Model Overview of Interest-Rate Tree Models Interest-Rate Modeling Rate and Price Trees Viewing Rate or Price Movement Understanding the Interest-Rate Term Structure Introduction Interest Rates Versus Discount Factors Interest-Rate Term Conversions Spot Curve to Forward Curve Conversion Alternative Syntax (ratetimes) Modeling the Interest-Rate Term Structure Creating or Modifying (intenvset) Obtaining Specific Properties (intenvget) Pricing Using Interest-Rate Term Structure Introduction Computing Instrument Prices Computing Instrument Sensitivities OAS for Callable and Puttable Bonds Agency OAS Understanding Interest-Rate Tree Models Introduction Building a Tree of Forward Rates Specifying the Volatility Model (VolSpec) Specifying the Interest-Rate Term Structure (RateSpec) Specifying the Time Structure (TimeSpec) Creating Trees Examining Trees Pricing Using Interest-Rate Tree Models Introduction Computing Instrument Prices Computing Instrument Sensitivities HJM Sensitivities Example BDT Sensitivities Example Calibrating Hull-White Model Using Market Data Hull-White Model Calibration Example Interest-Rate Derivatives Using Closed-Form Solutions Pricing Caps and Floors Using the Black Option Model Price Swaptions with Interest-Rate Models Using Simulation Introduction Construct a Zero Curve Define Swaption Parameters Compute the Black Model and the Swaption Volatility Matrix Select Calibration Instruments Compute Swaption Prices Using Black's Model Define Simulation Parameters Simulate Interest-Rate Paths Using the Hull-White One-Factor Model Simulate Interest-Rate Paths Using the Linear Gaussian Two-Factor Model Simulate Interest-Rate Paths Using the LIBOR Market Model Compare Interest-Rate Modeling Results References Pricing Bermudan Swaptions with Monte Carlo Simulation Managing Interest-Rate Risk with Bond Futures Analyze Inflation-Indexed Instruments Bootstrapping a Swap Curve Fitting Interest-Rate Curve Functions Fitting the Diebold Li Model Calibrating Caplets Using the Normal (Bachelier) Model Calibrating Floorlets Using the Normal (Bachelier) Model Calibrate the SABR Model Using Normal (Bachelier) Volatilities with Negative Strikes Calibrate Shifted SABR Model Parameters for Swaption Instrument Price Portfolio of Bond and Bond Option Instruments Calibrate SABR Model Using Normal (Bachelier) Volatilities with Analytic Pricer Calibrate SABR Model Using Analytic Pricer Price a Swaption Using SABR Model and Analytic Pricer Compute LIBOR Fallback Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond Select Cheapest-to-Deliver Bond Using BondFuture Instrument Graphical Representation of Trees Introduction Observing Interest Rates Observing Instrument Prices Basis Equity Derivatives Understanding Equity Trees Introduction Building Equity Binary Trees Building Implied Trinomial Trees Building Standard Trinomial Trees Examining Equity Trees Differences Between CRR and EQP Tree Structures Supported Equity Derivative Functions Asian Option Barrier Option Double Barrier Option Basket Option Chooser Option Compound Option Convertible Bond Lookback Option Digital Option Rainbow Option Vanilla Option Spread Option One-Touch and Double One-Touch Options Forwards Option Futures Option Supported Energy Derivative Functions Asian Option Barrier Option Double Barrier Option Vanilla Option Spread Option Lookback Option Forwards Option Futures Option Pricing Swing Options Using the Longstaff-Schwartz Method Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion Pricing Equity Derivatives Using Trees Computing Instrument Prices Computing Prices Using CRR Computing Prices Using EQP Computing Prices Using ITT Computing Prices Using STT Examining Output from the Pricing Functions Graphical Representation of Equity Derivative Trees Computing Equity Instrument Sensitivities CRR Sensitivities Example ITT Sensitivities Example Equity Derivatives Using Closed-Form Solutions Introduction Black-Scholes Model Black Model Roll-Geske-Whaley Model Bjerksund-Stensland 2002 Model Barone-Adesi-Whaley Model Pricing Using the Black-Scholes Model Pricing Using the Black Model Pricing Using the Roll-Geske-Whaley Model Pricing Using the Bjerksund-Stensland Model Compute American Option Prices Using the Barone-Adesi and Whaley Option Pricing Model Pricing European Call Options Using Different Equity Models Compute the Option Price on a Future Pricing European and American Spread Options Pricing Asian Options Price Spread Instrument for a Commodity Using Black-Scholes Model and Analytic Pricers Price Vanilla Instrument Using Heston Model and Multiple Different Pricers Create and Price Portfolio of Instruments Use Black-Scholes Model to Price Asian Options with Several Equity Pricers Calibrate Option Pricing Model Using Heston Model Use Deep Learning to Approximate Barrier Option Prices with Heston Model Hedging Portfolios Hedging Hedging Functions Introduction Hedging with hedgeopt Self-Financing Hedges with hedgeslf Pricing and Hedging a Portfolio Using the Black-Karasinski Model Specifying Constraints with ConSet Introduction Setting Constraints Portfolio Rebalancing Hedging with Constrained Portfolios Overview Example: Fully Hedged Portfolio Example: Minimize Portfolio Sensitivities Example: Under-Determined System Example: Portfolio Constraints with hedgeslf Hedging Strategies Using Spread Options Mortgage-Backed Securities What Are Mortgage-Backed Securities? Fixed-Rate Mortgage Pool Introduction Inputs to Functions Generating Prepayment Vectors Mortgage Prepayments Risk Measurement Mortgage Pool Valuation Computing Option-Adjusted Spread Prepayments with Fewer Than 360 Months Remaining Pools with Different Numbers of Coupons Remaining Summary of Prepayment Data Vector Representation Prepayment Modeling with a Two Factor Hull White Model and a LIBOR Market Model Pricing Mortgage Backed Securities Using the Black-Derman-Toy Model Using Collateralized Mortgage Obligations (CMOs) What Are CMOs? Prepayment Risk Sequential Tranches Without a Z-Bond Sequential Tranches with a Z-Bond PAC Tranches TAC Tranches CMO Workflow Calculate Underlying Mortgage Cash Flows Define CMO Tranches If Using a PAC or TAC CMO, Calculate Principal Schedule Calculate Cash Flows for Each Tranche Analyze CMO by Computing Price, Yield, and Spread of CMO Cash Flows Create PAC and Sequential CMO Debt Instruments Agency Option-Adjusted Spreads Computing the Agency OAS for Bonds Using Zero-Coupon Bonds Introduction Measuring Zero-Coupon Bond Function Quality Pricing Treasury Notes Pricing Corporate Bonds Stepped-Coupon Bonds Introduction Cash Flows from Stepped-Coupon Bonds Price and Yield of Stepped-Coupon Bonds Term Structure Calculations Introduction Computing Spot and Forward Curves Computing Spreads Derivative Securities Interest Rate Swaps Swap Pricing Assumptions Swap Pricing Example Portfolio Hedging Bond Futures Analysis of Bond Futures Calculating Bond Conversion Factors Calculating Implied Repo Rates to Find the CTD Bond Pricing Bond Futures Using the Term Implied Repo Rate Managing Present Value with Bond Futures Fitting the Diebold Li Model Credit Derivatives Counterparty Credit Risk and CVA First-to-Default Swaps Credit Default Swap Option References Pricing a Single-Name CDS Option Pricing a CDS Index Option Wrong Way Risk with Copulas Bootstrapping a Default Probability Curve from Credit Default Swaps Bootstrap Default Probability Curve from Market CDS Instruments Price Multiple CDS Option Instruments Using CDS Black Model and CDS Black Pricer Interest-Rate Curve Objects Interest-Rate Curve Objects and Workflow Class Structure Workflow Using Interest-Rate Curve Objects Creating Interest-Rate Curve Objects Creating an IRDataCurve Object Use IRDataCurve with Dates and Data Bootstrap IRDataCurve Based on Market Instruments Dual Curve Bootstrapping Creating an IRFunctionCurve Object Fitting IRFunctionCurve Object Using a Function Handle Fitting IRFunctionCurve Object Using Nelson-Siegel Method Fitting IRFunctionCurve Object Using Svensson Method Fitting IRFunctionCurve Object Using Smoothing Spline Method Using fitFunction to Create Custom Fitting Function Fitting Interest-Rate Curve Functions Converting an IRDataCurve or IRFunctionCurve Object Introduction Using the toRateSpec Function Using Vector of Dates and Data Numerix Workflows Working with Simple Numerix Trades Working with Advanced Numerix Trades Use Numerix to Price Cash Deposits Use Numerix for Interest-Rate Risk Assessment Numerix CROSSASSET Interface Workflow Example Using Matrix, Data, and Call Objects Functions Calibrate Pricing Model asianbycrr asianbyeqp asianbyitt asianbyls asianbystt asiansensbyls asianbykv asiansensbykv asianbylevy asiansensbylevy asianbyhhm asiansensbyhhm asianbytw asiansensbytw assetbybls assetsensbybls barrierbycrr barrierbyeqp barrierbyfd barriersensbyfd dblbarrierbyfd dblbarriersensbyfd barrierbyls barriersensbyls barrierbybls barriersensbybls dblbarrierbybls 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floorvolstrip gapbybls gapsensbybls hedgeopt hedgeslf hjmprice hjmsens hjmtimespec hjmtree hjmvolspec HullWhite1F simTermStructs hwcalbycap hwcalbyfloor hwprice hwsens hwtimespec hwtree hwvolspec impvbybaw impvbybjs impvbyblk impvbybls impvbyrgw instadd instaddfield instasian instbarrier instbond instcap instcbond instcf instcompound instdelete instdisp instfields instfind instfixed instfloat instfloor instget instgetcell instlength instlookback instoptbnd instoptembnd instoptfloat instoptemfloat instoptstock instrangefloat instselect instsetfield instswap instswaption insttypes intenvget intenvprice intenvsens intenvset isafin ittprice ittsens itttimespec itttree LiborMarketModel simTermStructs LinearGaussian2F simTermStructs lookbackbycrr lookbackbycvgsg lookbacksensbycvgsg lookbackbyeqp lookbackbyitt lookbackbyls lookbacksensbyls lookbackbystt lrtimespec lrtree maxassetbystulz maxassetsensbystulz minassetbystulz minassetsensbystulz mkbush mktree mktrintree mmktbybdt mmktbyhjm normalvolbysabr numerix numerixCrossAsset numerixCrossAsset.applicationCall numerixCrossAsset.applicationData numerixCrossAsset.applicationMatrix numerixCrossAsset.close numerixCrossAsset.getdata numerix.parseResults oasbybdt oasbybk oasbycir oasbyhjm oasbyhw optbndbybdt optbndbybk optbndbycir optbndbyhjm optbndbyhw optByBatesFD optSensByBatesFD optByBatesFFT optSensByBatesFFT optByBatesNI optSensByBatesNI optByHestonFD optSensByHestonFD optByHestonFFT optSensByHestonFFT optByHestonNI optSensByHestonNI optByLocalVolFD optSensByLocalVolFD optByMertonFD optSensByMertonFD optByMertonFFT optSensByMertonFFT optByMertonNI optSensByMertonNI optembndbybdt optembndbybk optembndbycir optembndbyhjm optembndbyhw optemfloatbybdt optemfloatbybk optemfloatbycir optemfloatbyhjm optemfloatbyhw optfloatbybdt optfloatbybk optfloatbycir optfloatbyhjm optfloatbyhw optsensbysabr optstockbybaw optstocksensbybaw optstockbybjs optstockbyblk optstockbybls optstockbycrr optstockbyeqp optstockbyfd optstocksensbyfd optstockbyitt optstockbylr optstockbyls optstocksensbyls optstockbyrgw optstocksensbybjs optstocksensbyblk optstocksensbybls optstocksensbylr optstocksensbyrgw optstockbystt optpricebysim rangefloatbybdt rangefloatbybk rangefloatbycir rangefloatbyhjm rangefloatbyhw rate2disc ratetimes spreadbykirk spreadbybjs spreadbyfd spreadbyls spreadsensbykirk spreadsensbybjs spreadsensbyls spreadsensbyfd stockoptspec stockspec sttprice sttsens stttimespec stttree supersharebybls supersharesensbybls swapbybdt swapbybk swapbycir swapbyhjm swapbyhw swapbyzero swaptionbybdt swaptionbybk swaptionbycir swaptionbyblk swaptionbyhjm swaptionbyhw swaptionbylg2f swaptionbynormal time2date treepath treeshape treeviewer trintreepath trintreeshape agencyoas agencyprice bkcall bkcaplet bkfloorlet bkput bndfutimprepo bndfutprice bootstrap cdsoptprice cmosched cmoschedcf cmoseqcf convfactor fitFunction fitNelsonSiegel fitSmoothingSpline fitSvensson getDiscountFactors getDiscountFactors getForwardRates getForwardRates getParYields getParYields getZeroRates getZeroRates IRBootstrapOptions IRDataCurve IRFitOptions IRFunctionCurve liborduration liborfloat2fixed liborprice mbscfamounts mbsconvp mbsconvy mbsdurp mbsdury mbsnoprepay mbsoas2price mbsoas2yield mbspassthrough mbsprice mbsprice2oas mbsprice2speed mbswal mbsyield mbsyield2oas mbsyield2speed psaspeed2default psaspeed2rate stepcpncfamounts stepcpnprice stepcpnyield tfutbyprice tfutbyyield tfutimprepo tfutpricebyrepo tfutyieldbyrepo toRateSpec toRateSpec zeroprice zeroyield touchbybls touchsensbybls dbltouchbybls dbltouchsensbybls fininstrument finmodel finpricer irbootstrap fitNelsonSiegel price price price price price price price price price price price price price pricePortfolio addInstrument removeInstrument setPricer cashflows cashsettle fairdelivery setCallExercisePolicy setPutExercisePolicy setExercisePolicy parswaprate volatilities fitSvensson discountfactors forwardrates zerorates discountfactors forwardrates zerorates finportfolio ratecurve inflationcurve indexvalues inflationbuild price inflationCashflows inflationCashflows inflationCashflows OISFuture STIRFuture Cliquet OvernightIndexedSwap PartialLookback ConvertibleBond InflationBond YearYearInflationSwap ZeroCouponInflationSwap Inflation Rubinstein parametercurve Asian Barrier DoubleBarrier Touch DoubleTouch Binary Cap CDS CDSOption FixedBond FixedBondOption FloatBond FloatBondOption Floor FRA Lookback OptionEmbeddedFixedBond OptionEmbeddedFloatBond Spread Swap VarianceSwap Swaption Vanilla Deposit BondFuture CommodityFuture EquityIndexFuture FXFuture Bates Black CDSBlack BlackScholes BraceGatarekMusiela SABRBraceGatarekMusiela LinearGaussian2F BlackKarasinski BlackDermanToy Heston HullWhite Merton Normal Bachelier Dupire SABR AssetMonteCarlo HeynenKat IkedaKunitomo VannaVolga Heston ReplicatingVarianceSwap BjerksundStensland Black BlackScholes ConzeViswanathan Credit CDSBlack NumericalIntegration Discount Future FFT GoldmanSosinGatto HullWhite IRMonteCarlo IRTree AssetTree KemnaVorst Kirk Levy Normal RollGeskeWhaley SABR FiniteDifference TurnbullWakeman defprobcurve survprobs hazardrates defprobstrip Derivatives Pricing Options Pricing Options Structure Introduction Default Structure Customizing the Structure Bibliography Bibliography Black-Derman-Toy (BDT) Modeling Heath-Jarrow-Morton (HJM) Modeling Hull-White (HW) and Black-Karasinski (BK) Modeling Cox-Ross-Rubinstein (CRR) Modeling Implied Trinomial Tree (ITT) Modeling Leisen-Reimer Tree (LR) Modeling Equal Probabilities Tree (EQP) Modeling Closed-Form Solutions Modeling Financial Derivatives Fitting Interest-Rate Curve Functions Interest-Rate Modeling Using Monte Carlo Simulation Bootstrapping a Swap Curve Bond Futures Credit Derivatives Convertible Bonds
