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Financial Instruments Toolbox

Equity Instruments

Equity Instruments

Price barrier options with closed form, Crank-Nicolson method, and Monte Carlo simulation

Equity Instruments

Equity Instruments

Price European options with finite differences method

Hybrid Instruments

Hybrid Instruments

Price convertible bonds with a default risk and recovery rate using standard and implied trinomial trees

Numerix CAIL Engine

Numerix CAIL Engine

Access the Numerix Engine directly from MATLAB using an updated API

Latest Releases

R2016b (Version 2.4) - 14 Sep 2016

Version 2.4, part of Release 2016b, includes the following enhancements:

  • Equity Instruments: Price barrier options with closed form, Crank-Nicolson method, and Monte Carlo simulation
  • Equity Instruments: Price European options with finite differences method
  • Hybrid Instruments: Price convertible bonds with a default risk and recovery rate using standard and implied trinomial trees
  • Numerix CAIL Engine: Access the Numerix Engine directly from MATLAB using an updated API

See the Release Notes for details.

R2016a (Version 2.3) - 3 Mar 2016

Version 2.3, part of Release 2016a, includes the following enhancements:

  • Cap and Floor Instruments: Volatility stripping
  • Swap Instruments: Pricing cross-currency, fixed-fixed, and float-float swaps

See the Release Notes for details.

R2015b (Version 2.2) - 3 Sep 2015

Version 2.2, part of Release 2015b, includes the following enhancements:

  • Hybrid Instruments: Price convertible bonds using standard and implied trinomial trees
  • Equity Instruments: Price equity derivatives using a standard trinomial tree
  • Simple Interest Convention: Calculate zero curves, forward curves, discount curves, rates, and bootstrapping using simple interest

See the Release Notes for details.

R2015a (Version 2.1) - 5 Mar 2015

Version 2.1, part of Release 2015a, includes the following enhancements:

  • Price convertible bonds using CRR and EQP lattice models
  • Collateral-level computation from credit exposure simulations
  • Wrong-way risk example

See the Release Notes for details.

R2014b (Version 2.0) - 2 Oct 2014

Version 2.0, part of Release 2014b, includes the following enhancements:

  • Pricing functionality for forward options
  • Amortizing caps and floors pricing using lattice models​
  • ​Power price simulation example
  • Hull-White single-factor model calibration using volatility surface
  • SABR option greeks computation

See the Release Notes for details.