Financial Derivatives Toolbox

Derivtool

The Derivtool demo provides an intuitive environment for the creation and pricing of portfolios and the performance of hedging strategies. A default instrument portfolio is provided for demonstration purposes.

Modify portfolio characteristics and select computations from the Model, Settings, Actions, or View menu.

• Model Menu: Select HJM or Zero Curve.
• Settings Menu: Select Initial Curve, Sensitivities, Volatility Model, or Tree Construction.
• Actions Menu: Select Price or Hedge.
• View Menu: Select Spot Rates or Unit Bond Prices.

  

Model Menu