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Mapping Financial Instruments Toolbox Functions for Interest-Rate Instrument Objects

The following table lists the Financial Instruments Toolbox™ functions for interest-rate instruments mapped to the associated workflow using the object-based framework for instruments, models, and pricers.

Note

The function-based workflows and the object-based workflows should not be mixed; they are parallel tracks for instrument pricing. The function-based and object-based workflows can return different instrument prices even if you use the same data. The difference is because the existing Financial Instruments Toolbox functions internally use datetime and the object-based framework use yearfrac for date handling. For more information, see Difference Between yearfrac and date2time.

Financial Instruments Toolbox FunctionObject-Based Workflow
capbyblkCreate the following objects:
  1. Cap instrument

  2. Black model

  3. ratecurve

  4. Black pricer

Compute the price of the Cap instrument using price.
capbynormalCreate the following objects:
  1. Cap instrument

  2. Normal model

  3. ratecurve

  4. Normal pricer

Compute the price of the Cap instrument using price.
capbybkCreate the following objects:
  1. Cap instrument

  2. BlackKarasinski model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Cap instrument using price.
capbybdtCreate the following objects:
  1. Cap instrument

  2. BlackDermanToy model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Cap instrument using price.
capbyhwCreate the following objects:
  1. Cap instrument

  2. BlackKarasinski model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Cap instrument using price.
capbylg2fCreate the following objects:Compute the price of the Cap instrument using price.
capbycirCreate the following objects:
  1. Cap instrument

  2. CoxIngersollRoss model

  3. IRTree pricer

Compute the price of the Cap instrument using price.
floorbyblkCreate the following objects:
  1. Floor instrument

  2. Black model

  3. ratecurve

  4. Black pricer

Compute the price of the Floor instrument using price.
floorbycirCreate the following objects:
  1. Floor instrument

  2. CoxIngersollRoss model

  3. IRTree pricer

Compute the price of the Floor instrument using price.
floorbynormalCreate the following objects:
  1. Floor instrument

  2. Normal model

  3. ratecurve

  4. Normal pricer

Compute the price of the Floor instrument using price.
floorbybkCreate the following objects:
  1. Floor instrument

  2. BlackKarasinski model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Floor instrument using price.
floorbybdtCreate the following objects:
  1. Floor instrument

  2. BlackDermanToy model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Floor instrument using price.
floorbyhwCreate the following objects:
  1. Floor instrument

  2. BlackKarasinski model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Floor instrument using price.
floorbylg2fCreate the following objects:Compute the price of the associated instrument using price.
swaptionbyblkCreate the following objects:
  1. Swaption instrument

  2. Black model

  3. ratecurve

  4. Black pricer

Compute the price of the Swaption instrument using price.
swaptionbycirCreate the following objects:
  1. Swaption instrument

  2. CoxIngersollRoss model

  3. IRTree pricer

Compute the price of the Swaption instrument using price.
swaptionbynormalCreate the following objects:
  1. Swaption instrument

  2. Normal model

  3. ratecurve

  4. Normal pricer

Compute the price of the Swaption instrument using price.
swaptionbybkCreate the following objects:Compute the price of the Swaption instrument using price.
swaptionbybdtCreate the following objects:Compute the price of the Swaption instrument using price.
swaptionbyhwCreate the following objects:Compute the price of the Swaption instrument using price.
swaptionbylg2fCreate the following objects:Compute the price of the associated instrument using price.
fixedbyzeroCreate the following objects:
  1. FixedBond instrument

  2. ratecurve

  3. Discount pricer

Compute the price of the FixedBond instrument using price.
fixedbybkCreate the following objects:Compute the price of the FixedBond instrument using price.
fixedbybdtCreate the following objects:Compute the price of the FixedBond instrument using price.
fixedbycirCreate the following objects:
  1. FixedBond instrument

  2. CoxIngersollRoss model

  3. IRTree pricer

Compute the price of the FixedBond instrument using price.
fixedbyhwCreate the following objects:
  1. FixedBond instrument

  2. HullWhite model

  3. ratecurve

  4. IRTree pricer

Compute the price of the FixedBond instrument using price.
bondbyzeroCreate the following objects:
  1. FixedBond instrument

  2. ratecurve

  3. Discount pricer

Compute the price of the FixedBond instrument using price.
tfutbypriceCreate the following objects:
  1. BondFuture instrument

  2. ratecurve

  3. Future pricer

Compute the price of the BondFuture instrument using price.
floatbyzeroCreate the following objects:
  1. FloatBond instrument

  2. ratecurve

  3. Discount pricer

Compute the price of the FloatBond instrument using price.
floatbybkCreate the following objects:Compute the price of the FloatBond instrument using price.
floatbybdtCreate the following objects:Compute the price of the FloatBond instrument using price.
floatbycirCreate the following objects:
  1. FloatBond instrument

  2. CoxIngersollRoss model

  3. IRTree pricer

Compute the price of the FloatBond instrument using price.
floatbyhwCreate the following objects:
  1. FloatBond instrument

  2. HullWhite model

  3. ratecurve

  4. IRTree pricer

Compute the price of the FloatBond instrument using price.
oasbybkCreate the following objects:Compute the OAS of the OptionEmbeddedFixedBond instrument using oas.
oasbybdtCreate the following objects:Compute the OAS of the OptionEmbeddedFixedBond instrument using oas.
oasbyhwCreate the following objects:Compute the OAS of the OptionEmbeddedFixedBond instrument using oas.
optbndbyhwCreate the following objects:Compute the price of the FixedBondOption instrument using price.
optbndbybkCreate the following objects:Compute the price of the FixedBondOption instrument using price.
optbndbycirCreate the following objects:Compute the price of the FixedBondOption instrument using price.
optbndbybdtCreate the following objects:Compute the price of the FixedBondOption instrument using price.
optfloatbybkCreate the following objects:Compute the price of the FloatBondOption instrument using price.
optfloatbybdtCreate the following objects:Compute the price of the FloatBondOption instrument using price.
optfloatbycirCreate the following objects:Compute the price of the FloatBondOption instrument using price.
optfloatbyhwCreate the following objects:Compute the price of the FloatBondOption instrument using price.
optembndbyhwCreate the following objects:Compute the price of the OptionEmbeddedFixedBond instrument using price.
optembndbybkCreate the following objects:Compute the price of the OptionEmbeddedFixedBond instrument using price.
optembndbycirCreate the following objects:Compute the price of the OptionEmbeddedFixedBond instrument using price.
optembndbybdtCreate the following objects:Compute the price of the OptionEmbeddedFixedBond instrument using price.
optemfloatbybkCreate the following objects:Compute the price of the OptionEmbeddedFloatBond instrument using price.
optembndbybdtCreate the following objects:Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbybkCreate the following objects:Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbycirCreate the following objects:Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbyhwCreate the following objects:Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbybdtCreate the following objects:Compute the price of the OptionEmbeddedFloatBond instrument using price.
swapbyzeroCreate the following objects:
  1. Swap instrument or for cross-currency swaps use CurrencySwap

  2. ratecurve

  3. Discount pricer for Swap instrument or for cross-currency swaps use FXDiscount

Compute the price of the Swap instrument using price and compute the price of the CurrencySwap instrument using price.
swapbybkCreate the following objects:
  1. Swap instrument

  2. BlackKarasinski model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Swap instrument using price.
swapbybdtCreate the following objects:
  1. Swap instrument

  2. BlackDermanToy model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Swap instrument using price.
swapbycirCreate the following objects:
  1. Swap instrument

  2. CoxIngersollRoss model

  3. IRTree pricer

Compute the price of the Swap instrument using price.
swapbyhwCreate the following objects:
  1. Swap instrument

  2. BlackKarasinski model

  3. ratecurve

  4. IRTree pricer

Compute the price of the Swap instrument using price.
LiborMarketModelCreate the following objects:Compute the price of the associated instrument using price.
LinearGaussian2FCreate the following objects:Compute the price of the associated instrument using price.

See Also

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