Interest-Rate Instruments

Interest-rate instruments price, sensitivities, and term structure

An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. This toolbox provides functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions.

Categories

Supported Interest-Rate Instruments
Price interest-rate derivatives using functions for tree models, closed form, or Monte Carlo simulation
Instrument Creation
Create interest-rate instruments
Term Structure Definition and Analysis
Define and analyze interest-rate term structure
Price Using Term Structure
Price instrument using interest-rate term structure
Price Using Tree Models
Propagate and analyze tree models to price interest-rate instruments
Price Using Closed-Form Solutions
Determine price for caps, floors, swaptions, agency callable bonds, and bond futures using closed-form solutions
Price Using Monte Carlo Simulation
Price cap, floor, and swaptions using Monte Carlo simulations with Hull-White, Linear Gaussian, and Libor Market models
Price Convertible Bonds
Convertible bond pricing with fixed or variable coupon rates
Portfolio Valuation
Manage portfolios of instruments, perform portfolio hedging, and rebalancing