Financial Derivatives Toolbox 5.5.1

Latest Features

Version 5.5.1

Released: 05 Mar 2010
 

Version 5.5.1, part of Release 2010a, includes bug fixes.

See the Release Notes for details.

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Version 5.5

Released: 04 Sep 2009
 

Version 5.5, part of Release 2009b, includes the following enhancements:

• Support for basket options using Monte Carlo methods
• Business/252 day-count convention

See the Release Notes for details.

Version 5.4

Released: 06 Mar 2009
 

Version 5.4, part of Release 2009a, includes the following enhancements:

• Support for European digital options using the Black-Scholes pricing model
• Support for European rainbow options using the Stulz option pricing model
• Support for caps and floors using the Black option pricing model
• Support for calibrating the Hull-White model using market data of caps and floors

See the Release Notes for details.

Version 5.3

Released: 09 Oct 2008
 

Version 5.3, part of Release 2008b, includes the following enhancements:

• Support for European chooser options using Black-Scholes model
• Support for Black model for European options
• Support for Black-Scholes model for European options with different types of dividends
• Support for Bjerksund-Stensland model for American options with continuous dividends
• Support for Roll-Geske-Whaley model for American call options with a single cash dividend

See the Release Notes for details.

Version 5.2

Released: 01 Mar 2008
 

Version 5.2, part of Release 2008a, includes the following enhancements:

• Support for actual/365 (ISDA)
• Support for pricing callable and puttable bonds

See the Release Notes for details.

Version 5.1

Released: 01 Sep 2007
 

Version 5.1, part of Release 2007b, includes the following enhancements:

• New support for pricing and sensitivity computations of swaptions
• Support for 30/360 (ISMA) basis as a variant of 30/360E with annual compounding

See the Release Notes for details.