Financial Toolbox

Fixed-Income Analysis and Option Pricing

Cash Flow Analysis

Financial Toolbox offers time-value-of-money functionality to:

  • Calculate present and future values
  • Determine nominal, effective, and modified internal rates of return
  • Calculate amortization and depreciation
  • Determine the periodic interest rate paid on a loan or annuity

Basic SIA-Compliant Fixed-Income Security Analysis

The toolbox provides Securities Industry Association or SIA-compatible analytics are provided for pricing, yield curve modeling, and sensitivity analysis for government, corporate, and municipal fixed-income securities. Specific analytics include:

  • Complete cash flow date, cash flow amounts, and time-to-cash-flow mapping for a bond
  • Price and yield maturity
  • Duration and convexity

You can price stepped and zero coupon bonds with Financial Instruments Toolbox.

Basic Black-Scholes, Black, and Binomial Option-Pricing

With Financial Toolbox, you can:

  • Use a standard market model of equity pricing with Black and Black-Scholes formulas
  • Compute the sensitivities of option greeks, such as lambda, theta, and delta

With Financial Instruments Toolbox, you can price equity and fixed-income derivatives using a range of models and methods, including Heath-Jarrow-Morton and Cox-Ross-Rubinstein binomial models.

Plot showing the option Greeks gamma and delta for a portfolio of call options.
Plot showing the option greeks gamma (z-axis height) and delta (color) for a portfolio of call options.
Next: Financial Time Series Analysis

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