固定收益工具定价
利率工具是一种衍生品,其标的资产为以给定的利率支付或接收名义资金金额的权利。Financial Instruments Toolbox™ 还提供了额外的功能,用于为多种利率证券定价、计算敏感度和执行对冲分析。您可以使用定价模型(包括格型模型、蒙特卡罗模拟和多个闭式解)来对债券、浮动利率期票、普通掉期、期货、债券期权、摊销债券、利率顶和利率底进行定价。有关详细信息,请参阅 Price Interest-Rate Instruments (Financial Instruments Toolbox)。
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主题
- Pricing and Computing Yields for Fixed-Income Securities
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.
- Computing Treasury Bill Price and Yield
Available functions for computing prices and yields on Treasury bills.
- Bond Portfolio Optimization Using Portfolio Object
This example shows how to use a
Portfolio
object to construct an optimal portfolio of 10, 20, and 30 year treasuries that will be held for a period of one month. - Term Structure of Interest Rates
Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.
- Sensitivity of Bond Prices to Interest Rates
This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.
- Bond Portfolio for Hedging Duration and Convexity
This example constructs a bond portfolio to hedge a portfolio of bonds.
- Term Structure Analysis and Interest-Rate Swaps
This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.
- Treasury Bills Defined
Treasury bills are short-term securities sold by the United States Treasury.