An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. The Financial Instruments Toolbox™ provides additional functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions. For more information, see Interest-Rate Instruments (Financial Instruments Toolbox).
|Price fixed-income security from yield to maturity|
|Static spread over spot curve|
|Total return of fixed-coupon bond|
|Margin measures for floating-rate bond|
|Discount margin for floating-rate bond|
|Price of discounted security|
|Price with interest at maturity|
|Price of Treasury bill|
|Bond equivalent yield for Treasury bill|
|Yield to maturity for fixed-income security|
|Bank discount rate of security|
|Treasury bond parameters given Treasury bill parameters|
|Term-structure parameters given Treasury bond parameters|
|Yield of discounted security|
|Yield with interest at maturity|
|Yield of Treasury bill|
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.
Available functions for computing prices and yields on Treasury bills.
Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.
This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.
This example constructs a bond portfolio to hedge a portfolio of bonds.
This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.
Treasury bills are short-term securities sold by the United States Treasury.