| Fixed-Income Toolbox™ | |
Function Reference |  Alphabetical List |
|
| cfamounts | Cash flow and time mapping for bond portfolio |
| cdai | Accrued interest on certificate of deposit (CD) |
| cdprice | Price of certificate of deposit (CD) |
| cdyield | Yield on certificate of deposit (CD) |
| cbprice | Price convertible bond |
| bkcall | Price European call option on bonds using Black's model |
| bkcaplet | Price interest-rate caplet using Black's model |
| bkfloorlet | Price interest-rate floorlet using Black's model |
| bkput | Price European put option on bonds using Black's model |
| liborduration | Duration of LIBOR-based interest-rate swap |
| liborfloat2fixed | Compute par fixed-rate of swap given 3-month LIBOR data |
| liborprice | Price swap given swap rate |
| bootstrap | Bootstrap interest-rate curve from market data |
| fitFunction | Custom fit interest-rate curve object to bond market data |
| fitNelsonSiegel | Fit Nelson-Siegel function to bond market data |
| fitSmoothingSpline | Fit smoothing spline to bond market data |
| fitSvensson | Fit Svensson function to bond market data |
| getDiscountFactors | Get discount factors for input dates for IRDataCurve |
| getDiscountFactors | Get discount factors for input dates for IRFunctionCurve |
| getForwardRates | Get forward rates for input dates for IRDataCurve |
| getForwardRates | Get forward rates for input dates for IRFunctionCurve |
| getParYields | Get par yields for input dates for IRDataCurve |
| getParYields | Get par yields for input dates for IRFunctionCurve |
| getZeroRates | Get zero rates for input dates for IRDataCurve |
| getZeroRates | Get zero rates for input dates for IRFunctionCurve |
| IRBootstrapOptions | Construct specific options for bootstrapping interest-rate curve object |
| IRDataCurve | Construct interest-rate curve object from dates and data |
| IRFitOptions | Construct specific options for fitting interest-rate curve object |
| IRFunctionCurve | Construct interest-rate curve object from function handle or function by fitting to market data using object methods |
| toRateSpec | Convert IRDataCurve object to RateSpec |
| toRateSpec | Convert IRFunctionCurve object to RateSpec |
| mbscfamounts | Cash flow and time mapping for mortgage pool |
| mbsconvp | Convexity of mortgage pool given price |
| mbsconvy | Convexity of mortgage pool given yield |
| mbsdurp | Duration of mortgage pool given price |
| mbsdury | Duration of mortgage pool given yield |
| mbsnoprepay | End-of-month mortgage cash flows and balances without prepayment |
| mbspassthrough | Mortgage pool cash flows and balances with prepayment |
| mbsprice | Mortgage-backed security price given yield |
| mbsprice2speed | Implied PSA prepayment speeds given price |
| mbswal | Weighted average life of mortgage pool |
| mbsyield | Mortgage-backed security yield given price |
| mbsyield2speed | Implied PSA prepayment speeds given yield |
| psaspeed2default | Benchmark default |
| psaspeed2rate | Single monthly mortality rate given PSA speed |
| mbsoas2price | Price given option-adjusted spread |
| mbsoas2yield | Yield given option-adjusted spread |
| mbsprice2oas | Option-adjusted spread given price |
| mbsyield2oas | Option-adjusted spread given yield |
| stepcpncfamounts | Cash flow amounts and times for bonds and stepped coupons |
| stepcpnprice | Price bond with stepped coupons |
| stepcpnyield | Yield to maturity of bond with stepped coupons |
| tbilldisc2yield | Convert Treasury bill discount to equivalent yield |
| tbillprice | Price Treasury bill |
| tbillrepo | Break-even discount of repurchase agreement |
| tbillval01 | Value of one basis point |
| tbillyield | Yield on Treasury bill |
| tbillyield2disc | Convert Treasury bill yield to equivalent discount |
| convfactor | Treasury bond conversion factors |
| tfutbyprice | Future prices of Treasury bonds given spot price |
| tfutbyyield | Future prices of Treasury bonds given current yield |
| tfutimprepo | Implied simple annual repurchase rate to prevent arbitrage |
| tfutpricebyrepo | Theoretical futures bond price |
| tfutyieldbyrepo | Theoretical futures bond yield |
| zeroprice | Price zero-coupon instruments given yield |
| zeroyield | Yield of zero-coupon instruments given price |
| Converting an IRDataCurve or IRFunctionCurve Object | Functions — Alphabetical List | |
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