Financial Derivatives Toolbox

Preface

About this Book

This book describes the Financial Derivatives Toolbox for MATLAB®, a collection of tools for analyzing individual financial derivative instruments and portfolios of instruments.

Organization of the Document

Chapter
Description

Tutorial

Describes techniques for interest rate environment computations, instrument portfolio construction and manipulation, and Heath-Jarrow-Morton (HJM) modeling of fixed income derivatives.

Function Reference

Describes the functions used for interest rate environment computations, instrument portfolio construction and manipulation, and for Heath-Jarrow-Morton modeling.

Chapter	Description
Tutorial	Describes techniques for interest rate environment computations, instrument portfolio construction and manipulation, and Heath-Jarrow-Morton (HJM) modeling of fixed income derivatives.
Function Reference	Describes the functions used for interest rate environment computations, instrument portfolio construction and manipulation, and for Heath-Jarrow-Morton modeling.

Typographical Conventions

This manual uses some or all of these conventions.

Item
Convention
Example

Example code
Monospace font
To assign the value 5 to A, enter
A = 5

Function names/syntax
Monospace font
The cos function finds the cosine of each array element.
Syntax line example is
MLGetVar ML_var_name

Keys
Boldface with an initial capital letter
Press the Return key.

Literal strings (in syntax descriptions in reference chapters)
Monospace bold for literals
f = freqspace(n,'whole')

Mathematical
expressions
Italics for variables
Standard text font for functions, operators, and constants
This vector represents the polynomial
p = x2 + 2x + 3

MATLAB output
Monospace font
MATLAB responds with
A =
5

Menu names, menu items, and controls
Boldface with an initial capital letter
Choose the File menu.

New terms
Italics
An array is an ordered collection of information.

String variables (from a finite list)
Monospace italics
sysc = d2c(sysd, 'method')

Item	Convention	Example
Example code	`Monospace` font	To assign the value 5 to `A`, enter `A = 5`
Function names/syntax	`Monospace` font	The `cos` function finds the cosine of each array element. Syntax line example is `MLGetVar ML_var_name`
Keys	Boldface with an initial capital letter	Press the Return key.
Literal strings (in syntax descriptions in reference chapters)	`Monospace bold` for literals	`f = freqspace(n,'whole')`
Mathematical expressions	Italics for variables Standard text font for functions, operators, and constants	This vector represents the polynomial p = x2 + 2x + 3
MATLAB output	`Monospace` font	MATLAB responds with `A =` `5`
Menu names, menu items, and controls	Boldface with an initial capital letter	Choose the File menu.
New terms	Italics	An array is an ordered collection of information.
String variables (from a finite list)	`Monospace italics`	`sysc = d2c(sysd,` '`method`'`)`

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