Financial Instruments ToolBox

Financial Instruments ToolBox

User's Guide

• Financial Instruments Toolbox Product Description.
• Interest-Rate-Based Derivatives.
• Equity-Based Derivatives.
• Expected Users.
• Portfolio Creation
• Pricing a Portfolio Using the Black-Derman-Toy Model
• Instrument Construction and Portfolio Management

Key Features

• Yield curve fitting with bootstrapping and parametric fitting models, and term structure analysis with dual curve construction and pricing of swaps, caps, floors, and swaptions (using LIBOR-OIS and other curves)
• Black Scholes, Black, Garman-Kohlhagen, Roll-Geske-Whaley, Bjerksund-Stensland, Nengjiu Ju, Stulz, Levy jump diffusion, Longstaff-Schwartz, SABR, and tree models and Monte Carlo simulation
• Fixed-income and equity derivative calculations for the price, yield, discount rate, cash flow schedule, spread, implied volatility, option-adjusted spread (OAS), and greeks 
• Counterparty credit risk, CVA modeling, and credit instruments for mortgage pools, balloon mortgages, and credit default swaps
• Interest-rate instruments: bonds, stepped-coupon bonds, futures, vanilla options, Bermudan options, bonds with embedded options, vanilla swaps, forward swaps, Financial Instruments Toolbox Product Description 1-3 amortizing swaps, swaptions, caps, floors, range notes, floating-rate notes, and collared floating-rate notes.
• Equity instruments: stocks, vanilla options, Bermudan options, Asian options, lookback options, barrier options, digital options, rainbow options, basket options, compound options, and choose options.
• Energy and commodity instruments: Asian options, Bermudan options, look back options, swing options, spread options, and vanilla European/American options

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