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Financial Instruments Toolbox Examples

Bond Futures

Managing Interest Rate Risk with Bond FuturesScript

Counterparty Credit Risk

Counterparty Credit Risk and CVAScript

Credit Derivatives

First-to-Default SwapsScript

Energy Derivatives

Pricing European and American Spread OptionsScript
Hedging Strategies Using Spread OptionsScript
Pricing Swing Options using the Longstaff-Schwartz Method
Uses: Curve Fitting Toolbox
Script

Inflation Indexed Instruments

Analysis of Inflation Indexed InstrumentsScript

Interest Rate Curve Modeling

Bootstrapping a Swap CurveScript
Fitting Interest Rate Curve Functions
Uses: Curve Fitting Toolbox
Script
Fitting the Diebold Li ModelScript
Pricing Bermudan Swaptions with Monte Carlo SimulationScript

Mortgage Backed Securities

Prepayment Modeling with a Two Factor Hull White Model and a LIBOR Market ModelScript

Pricing Derivatives with Trees

Pricing a Portfolio Using the Black-Derman-Toy ModelScript
Pricing and Hedging a Portfolio Using the Black-Karasinski ModelScript
Pricing European Call Options Using Different Equity ModelsScript
Pricing Mortgage Backed Securities Using the Black-Derman-Toy ModelScript
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