Version 2.4, part of Release 2016b, includes the following enhancements:

  • Equity Instruments: Price barrier options with closed form, Crank-Nicolson method, and Monte Carlo simulation
  • Equity Instruments: Price European options with finite differences method
  • Hybrid Instruments: Price convertible bonds with a default risk and recovery rate using standard and implied trinomial trees
  • Numerix CAIL Engine: Access the Numerix Engine directly from MATLAB using an updated API

See the Release Notes for details.

Version 2.3, part of Release 2016a, includes the following enhancements:

  • Cap and Floor Instruments: Volatility stripping
  • Swap Instruments: Pricing cross-currency, fixed-fixed, and float-float swaps

See the Release Notes for details.

Version 2.2, part of Release 2015b, includes the following enhancements:

  • Hybrid Instruments: Price convertible bonds using standard and implied trinomial trees
  • Equity Instruments: Price equity derivatives using a standard trinomial tree
  • Simple Interest Convention: Calculate zero curves, forward curves, discount curves, rates, and bootstrapping using simple interest

See the Release Notes for details.

Version 2.1, part of Release 2015a, includes the following enhancements:

  • Price convertible bonds using CRR and EQP lattice models
  • Collateral-level computation from credit exposure simulations
  • Wrong-way risk example

See the Release Notes for details.

Version 2.0, part of Release 2014b, includes the following enhancements:

  • Pricing functionality for forward options
  • Amortizing caps and floors pricing using lattice models​
  • ​Power price simulation example
  • Hull-White single-factor model calibration using volatility surface
  • SABR option greeks computation

See the Release Notes for details.