Financial Toolbox

Index

Numerics

1900 date system <1> <2>

1904 date system <1> <2>

A

accrued interest <1> <2> <3>

computing fractional period

actual days

adding a scalar and a matrix

adding matrices

advance payments, periodic payment given

after-tax rate of return

algebra, linear <1> <2>

American options

amortization <1> <2> <3> <4>

analysis models for equity derivatives

analyzing

and computing cash flows

equity derivatives

payment of with odd first period

periodic interest rate of

periodic payment of loan or

apostrophe or prime character (')

arguments

function return

matrices as, limitations

vectors as, limitations

array operations

ASCII character

asset covariance matrix with exponential weighting

axis labels, converting

B

basis, day-count

binomial

put and call pricing

Black's option pricing

Black-Scholes

implied volatility

options <1> <2>

put and call pricing

sensitivity to

interest rate change

time-until-maturity change

underlying delta change

underlying price change

underlying price volatility

Bollinger band chart

bond

equivalent yield for Treasury bill

portfolio

constructing to hedge against duration and convexity

visualizing sensitivity of price to parallel shifts in the yield curve

sensitivity of prices to changes in interest rates

bootstrapping <1> <2> <3> <4>

building a binomial tree

business date

business day

C

call and put pricing

candlestick chart

capital allocation line

cash flow

analyzing and computing

future value of varying

internal rate of return

internal rate of return for nonperiodic

modified internal rate of return

portfolio form of amounts

present value of varying

uniform payment equal to varying

character array

strings stored as

character, ASCII

chart

high, low, open, close

leading and lagging moving averages

point and figure

charting financial data

commutative law <1> <2>

computing

dot products of vectors

yields for fixed-income securities

constraint functions

constraint matrix

constructing

a bond portfolio to hedge against duration and convexity

greek-neutral portfolios of European stock options

conventions

conventions in our documentation (table)

conversions

converting

and handling dates

constructing a bond portfolio to hedge against

portfolio <1> <2>

coupon bond

prices to zero curve

yields to zero curve

coupon date

after settlement date

days between <1> <2>

coupon payments remaining until maturity

coupon period

containing settlement date

coupons payable between dates

covariance matrix

covariance matrix with exponential weighting

currency

fractional <1> <2>

and time <1> <2>

D

date

current <1> <2> <3>

first business, of month

input conversions

last date of month

last weekday in month

displaying as string

Excel to MATLAB

indices of in matrix

MATLAB to Excel

of day in future or past month

of future or past workday

output conversions

starting, add month to

date of specific weekday in month

date system

dates

actual days between

cash-flow <1> <2>

days between <1> <2> <3> <4>

fraction of year between

handling and converting

investment horizon

number of months between

working days between

day

date of specific weekday in month

day

day-count basis

day-count convention

days

between

coupon date and settlement date

dates <1> <2> <3> <4> <5>

settlement date and next coupon date

in coupon period containing settlement date

last business date of month

last weekday in month

number of, in year

decimal currency

to fractional currency

declining-balance depreciation

general <1> <2>

change, Black-Scholes sensitivity to underlying

depreciable value, remaining

fixed declining-balance <1> <2>

general declining-balance <1> <2>

straight-line <1> <2>

sum of years' digits <1> <2>

derivatives

equity, pricing and analyzing

sensitivity measures for

determining dates

discount curve

from zero curve

discount rate of a security

discount security

future value of

dividing matrices

dot products of vectors

duration

cash-flow and modified

constructing a bond portfolio to hedge against

for fixed-income securities

portfolio <1> <2>

E

effective rate of return

efficient frontier

elasticity

element-by-element

elements, referencing matrix

end-of-month rule

enlarging matrices

equations

solving simultaneous linear

equity derivatives

analysis models for

European options

constructing greek-neutral portfolios of

Excel date number

from MATLAB date number

to MATLAB date number

exponential weighting of covariance matrix

F

financial data

first business date of month

first coupon date

fixed declining-balance depreciation <1> <2>

fixed periodic payments

future value with

fixed-income securities

cash-flow dates

Macaulay and modified durations for

pricing and computing yields for

yield functions for

fixed-income sensitivities

formats

formatting currency and charting financial data

forward curve

from zero curve

fraction of

year between dates

fractional currency <1> <2>

frontcon <1> <2>

frontier

plotting an efficient

frontier, efficient

function

return arguments

future month, date of day in

future value <1> <2>

of discounted security

of varying cash flow

with fixed periodic payments

G

general declining-balance depreciation <1> <2>

generating and referencing matrix elements

graphics

three-dimensional

greek-neutral portfolios, constructing

H

handling and converting dates

a bond portfolio against duration and convexity

high, low, open, close chart

holidays and nontrading days

hour of date or time

I

identity matrix

implied volatility

indices

of date numbers in matrix

of nonrepeating integers in matrix

indifference curve

inner dimension rule

input

installing the Financial Toolbox

accrued <1> <2>

interest rate swap

interest rates

Black-Scholes sensitivity to change

of annuity, periodic

sensitivity of bond prices to changes in

term structure <1> <2>

internal rate of return

for nonperiodic cash flow

inversion, matrix

investment horizon

irr

L

lagging and leading moving averages chart

last

business date of month

weekday in month

last coupon date

leading and lagging moving averages chart

leverage of an option

linear algebra <1> <2>

linear equations

solving simultaneous

loan

payment with odd first period

periodic payment of

M

Macaulay duration

for fixed-income securities

MATLAB

date number

from Excel date number

to Excel date number

matrices

adding and subtracting

as arguments, limitations

multiplying <1> <2>

multiplying vectors and

of string input

adding or subtracting a scalar

algebra refresher

elements

indices of date numbers

indices of integers in

multiplying by a scalar

numbers and strings in a

maturity

price with interest at

yield of a security paying interest at

minute of date or time

modified duration <1> <2>

for fixed-income securities

modified internal rate of return

month

add, to starting date

date of specific weekday

first business date of

last business date

months

last weekday in

number of months between dates

moving averages chart

multiplying

a matrix by a scalar

vectors and matrices

N

names

NaN

negative cash flows

Newton's method

next

coupon date after settlement date

or previous business day

nominal rate of return

nontrading days <1> <2>

normcdf <1> <2> <3>

normpdf <1> <2> <3>

now

number of

periods to obtain value

whole months between dates

numbers

and strings in a matrix

O

odd first period

payment of loan or annuity with

operating element-by-element

operations, array

optimal portfolio

option

plotting sensitivities of

plotting sensitivities of a portfolio of

pricing

output conversions, date

P

par yield curve

from zero curve

past month, date of day in

payment

of loan or annuity with odd first period

periodic, given number of advance payments

periodic, of loan or annuity

uniform, equal to varying cash flow

periodic interest rate of annuity

periodic payment

future value with fixed

given advance payments

of loan or annuity

present value with fixed

plotting

efficient frontier

sensitivities of a portfolio of options

sensitivities of an option

point and figure chart

portalloc <1> <2> <3>

portcons <1> <2>

portfolio

convexity <1> <2>

duration <1> <2>

expected rate of return

of options, plotting sensitivities of

risks, returns, and weights

portfolios

of European stock options

constructing greek-neutral

of varying cash flow

with fixed periodic payments

previous quasi coupon date

price

change, Black-Scholes sensitivity to underlying

of discounted security

of Treasury bill

volatility, Black-Scholes sensitivity to underlying

with interest at maturity

pricing

and analyzing equity derivatives

and computing yields for fixed-income securities

fixed-income securities

put and call pricing

Q

quasi coupon date

quasi-coupon dates

R

randomized portfolio risks, returns, and weights

rate of a security, discount

internal for nonperiodic cash flow

modified internal

portfolio expected

redemption value

referencing matrix elements <1> <2>

remaining depreciable value <1> <2>

return arguments, function

risk-free interest rates

risks

returns, and weights

randomized portfolio

row, column notation

S

adding or subtracting

multiplying a matrix by

seconds of date or time

securities industry association

sensitivity

measures for derivatives

of a portfolio of options, plotting

of an option, plotting

of bond prices to changes in interest rates

to

interest rate change, Black-Scholes

to time-until-maturity change, Black-Scholes

to underlying delta change, Black-Scholes

to underlying price change, Black-Scholes

to underlying price volatility, Black-Scholes

visualizing to parallel shifts in the yield curve

settlement date

coupon period containing

days between previous coupon date and

days between, and coupon date

next coupon date after

default parameter values

order of precedence

use of nonlinear formulas

SIA conventions

singular matrices

solving

sample problems with the toolbox

square matrices

straight-line depreciation <1> <2>

strings

and numbers in a matrix

input, matrices of

stored as character array

subtracting

a scalar and a matrix

sum of years' digits depreciation <1> <2>

synchronization date

system of linear equations

T

term structure <1> <2> <3> <4> <5> <6> <7> <8> <9> <10> <11> <12>

parameters from Treasury bond parameters

terminology, fixed-income securities

three-dimensional graphics

time

current <1> <2>

time-until-maturity change

Black-Scholes sensitivity to

transposing matrices

bond equivalent yield for

parameters to Treasury bond parameters

parameters

from Treasury bill parameters

to term-structure parameters

U

uniform payment equal to varying cash flow

V

vectors

as arguments, limitations

computing dot products of

multiplying matrices and

visualizing the sensitivity of a bond portfolio's price to parallel shifts in the yield curve

volatility

Black-Scholes implied

W

weekday

date of specific, in month

workday, date of future or past

working days between dates

X

Y

year

fraction of between dates

number of days in

yield

visualizing sensitivity of bond portfolio's price to parallel shifts in

for Treasury bill, bond equivalent

functions for fixed-income securities

of discounted security

of security paying interest at maturity

of Treasury bill

yields

for fixed-income securities, pricing and computing

yield-to-maturity

Z

zero curve <1> <2> <3>

from coupon bond prices

from coupon bond yields

from discount curve

from forward curve

from par yield curve

to discount curve

to forward curve

to par yield curve

zero-coupon bond <1> <2> <3>

Bibliography