Financial Toolbox™ provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments, optionally taking into account turnover and transaction costs. The toolbox enables you to estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment performance. Time series analysis functions and an app let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.
Financial market data for dates and currencies
Time series, date transformations and merges, chart technical indicators
Cash flows and performance metrics, regression analysis, financial data charting
Create portfolios, evaluate composition of assets, perform mean-variance, CVaR, or mean absolute-deviation portfolio optimization
Credit risk, transition probabilities for credit ratings, credit quality thresholds, credit scorecards
Yield curves, valuation for fixed-income securities, equity derivatives pricing
Parametric models, such as Geometric Brownian Motion (GBM) and Heston Volatility