Analyze financial data and develop financial models
Financial Toolbox™ provides functions for the mathematical modeling and statistical analysis of financial data. You can perform portfolio optimization taking into account turnover, transaction costs, semi-continuous constraints, and minimum or maximum number of assets. The toolbox enables you to estimate risk, model credit scorecards, analyze yield curves, price fixed-income instruments and European options, and measure investment performance. Time series analysis functions let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.
Financial Data Analytics
Preprocess and analyze financial data.
Convert date and time formats, including business day conventions, day count conventions, custom trading calendars, and coupon payment dates. Use timetable capabilities in MATLAB to remove entries with missing data and outliers and to resample, aggregate, and synchronize time-associated data.
Technical Indicators and Financial Charts
Compute technical indicators (including moving averages, momentums, oscillators, volume indicators, and rate of change) and create financial charts (including candlestick, open-high-low-close, and Bollinger band charts).
Investment Performance Metrics
Evaluate investment performance using built-in functions for calculating metrics such as Sharpe ratio, information ratio, tracking error, risk-adjusted return, sample lower partial moments, expected lower partial moments, maximum drawdown, and expected maximum drawdown.
Portfolio Optimization and Asset Allocation
Construct, optimize, and analyze portfolios with various objectives and constraints.
Portfolio Optimization Approaches
Use Financial Toolbox to perform mean-variance, mean absolute deviation (MAD), and conditional value at risk (CVaR) portfolio optimizations.
Efficient Portfolios and Efficient Frontiers
Estimate the efficient portfolio and its weights that maximize Sharpe ratio, visualize efficient frontiers, and calculate portfolio risks (including portfolio standard deviation, MAD, VaR, and CVaR).
Portfolio Constraints and Transaction Costs
Apply portfolio optimization constraints, including tracking error, linear inequality, linear equality, bound, budget, group, group ratio, average turnover, one-way turnover, minimum number of assets, and maximum number of assets. Incorporate proportional or fixed transaction costs on either gross or net portfolio return optimization.
Analyze cash flow, price basic fixed-income securities and European options, and perform Monte Carlo simulations.
Cash Flow Analysis
Use Financial Toolbox to calculate present and future values; determine nominal, effective, and modified internal rates of return; calculate amortization and depreciation; and determine the periodic interest rate paid on loans or annuities.
Fixed-Income Analysis and Option Pricing
Calculate price, yield-to-maturity, duration, and convexity of fixed-income securities. Compute analytics such as complete cash flow date, cash flow amounts, and time-to-cash-flow mapping for bonds. Calculate option prices and greeks using Black and Black-Scholes formulas. You can design, price, and hedge complex financial instruments with Financial Instruments Toolbox™.
Monte Carlo Simulation
Generate random variables for Monte Carlo simulations based on a variety of stochastic differential equation (SDE) models, including Brownian Motion, Geometric Brownian Motion, Constant Elasticity of Variance, Cox-Ingersoll-Ross, Hull-White/Vasicek, and Heston.
Specify equality, inequality, or bound constraints using
Perform CVaR and MAD portfolio optimization with integrality constraints such as minimum and maximum number of assets.
Use the linear programing solver (
linprog) for portfolio optimization
Portfolio Optimization Example
Optimize the portfolio using the Black-Litterman model
Computational Finance Suite
The MATLAB Computational Finance Suite is a set of 12 essential products that enables you to develop quantitative applications for risk management, investment management, econometrics, pricing and valuation, insurance, and algorithmic trading.