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Price Fixed-Income Instruments

Analyze term structure, interest rates, accrued interest, bond prices, treasury bills, sensitivities, and yields

An interest-rate instrument is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate. The Financial Instruments Toolbox™ provides additional functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions. For more information, see Price Interest-Rate Instruments (Financial Instruments Toolbox).

Functions

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bndpricePrice fixed-income security from yield to maturity
bndspreadStatic spread over spot curve
bndtotalreturnTotal return of fixed-coupon bond
floatmarginMargin measures for floating-rate bond
floatdiscmarginDiscount margin for floating-rate bond
prdiscPrice of discounted security
prmatPrice with interest at maturity
prtbillPrice of Treasury bill
acrubondAccrued interest of security with periodic interest payments
acrudiscAccrued interest of discount security paying at maturity
beytbillBond equivalent yield for Treasury bill
bndyieldYield to maturity for fixed-income security
discrateBank discount rate of security
tbl2bondTreasury bond parameters given Treasury bill parameters
tr2bondsTerm-structure parameters given Treasury bond parameters
ylddiscYield of discounted security
yldmatYield with interest at maturity
yldtbillYield of Treasury bill
bndconvpBond convexity given price
bndconvyBond convexity given yield
bnddurpBond duration given price
bndduryBond duration given yield
bndkrdurBond key rate duration given zero curve
cdaiAccrued interest on certificate of deposit
cdpricePrice of certificate of deposit
cdyieldYield on certificate of deposit (CD)
tbilldisc2yieldConvert Treasury bill discount to equivalent yield
tbillpricePrice Treasury bill
tbillrepoBreak-even discount of repurchase agreement
tbillval01Value of one basis point
tbillyieldYield on Treasury bill
tbillyield2discConvert Treasury bill yield to equivalent discount

Examples and How To

Concepts