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 Price 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.
This example shows how to construct an optimal portfolio of 10,20 and 30 year treasuries that will be held for a period of one month.
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.