Mapping Financial Instruments Toolbox Functions for Interest-Rate Instrument Objects

The following table lists the Financial Instruments Toolbox™ functions for interest-rate instruments mapped to the associated workflow using the object-based framework for instruments, models, and pricers.

Note

The function-based workflows and the object-based workflows should not be mixed; they are parallel tracks for instrument pricing. The function-based and object-based workflows can return different instrument prices even if you use the same data. The difference is because the existing Financial Instruments Toolbox functions internally use datetime and the object-based framework use yearfrac for date handling. For more information, see Difference Between yearfrac and date2time.

Financial Instruments Toolbox Function	Object-Based Workflow
capbyblk	Create the following objects: Cap instrument Black model ratecurve Black pricer Compute the price of the Cap instrument using price.
capbynormal	Create the following objects: Cap instrument Normal model ratecurve Normal pricer Compute the price of the Cap instrument using price.
capbybk	Create the following objects: Cap instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Cap instrument using price.
capbybdt	Create the following objects: Cap instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the Cap instrument using price.
capbyhw	Create the following objects: Cap instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Cap instrument using price.
capbylg2f	Create the following objects: Cap instrument LinearGaussian2F model ratecurve IRMonteCarlo pricer Compute the price of the Cap instrument using price.
capbycir	Create the following objects: Cap instrument CoxIngersollRoss model IRTree pricer Compute the price of the Cap instrument using price.
floorbyblk	Create the following objects: Floor instrument Black model ratecurve Black pricer Compute the price of the Floor instrument using price.
floorbycir	Create the following objects: Floor instrument CoxIngersollRoss model IRTree pricer Compute the price of the Floor instrument using price.
floorbynormal	Create the following objects: Floor instrument Normal model ratecurve Normal pricer Compute the price of the Floor instrument using price.
floorbybk	Create the following objects: Floor instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Floor instrument using price.
floorbybdt	Create the following objects: Floor instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the Floor instrument using price.
floorbyhw	Create the following objects: Floor instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Floor instrument using price.
floorbylg2f	Create the following objects: Floor instrument LinearGaussian2F model ratecurve IRMonteCarlo pricer Compute the price of the associated instrument using price.
swaptionbyblk	Create the following objects: Swaption instrument Black model ratecurve Black pricer Compute the price of the Swaption instrument using price.
swaptionbycir	Create the following objects: Swaption instrument CoxIngersollRoss model IRTree pricer Compute the price of the Swaption instrument using price.
swaptionbynormal	Create the following objects: Swaption instrument Normal model ratecurve Normal pricer Compute the price of the Swaption instrument using price.
swaptionbybk	Create the following objects: Swaption instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Swaption instrument using price.
swaptionbybdt	Create the following objects: Swaption instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the Swaption instrument using price.
swaptionbyhw	Create the following objects: Swaption instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Swaption instrument using price.
swaptionbylg2f	Create the following objects: Swaption instrument LinearGaussian2F model ratecurve IRMonteCarlo pricer Compute the price of the associated instrument using price.
fixedbyzero	Create the following objects: FixedBond instrument ratecurve Discount pricer Compute the price of the FixedBond instrument using price.
fixedbybk	Create the following objects: FixedBond instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the FixedBond instrument using price.
fixedbybdt	Create the following objects: FixedBond instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the FixedBond instrument using price.
fixedbycir	Create the following objects: FixedBond instrument CoxIngersollRoss model IRTree pricer Compute the price of the FixedBond instrument using price.
fixedbyhw	Create the following objects: FixedBond instrument HullWhite model ratecurve IRTree pricer Compute the price of the FixedBond instrument using price.
bondbyzero	Create the following objects: FixedBond instrument ratecurve Discount pricer Compute the price of the FixedBond instrument using price.
tfutbyprice	Create the following objects: BondFuture instrument ratecurve Future pricer Compute the price of the BondFuture instrument using price.
floatbyzero	Create the following objects: FloatBond instrument ratecurve Discount pricer Compute the price of the FloatBond instrument using price.
floatbybk	Create the following objects: FloatBond instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the FloatBond instrument using price.
floatbybdt	Create the following objects: FloatBond instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the FloatBond instrument using price.
floatbycir	Create the following objects: FloatBond instrument CoxIngersollRoss model IRTree pricer Compute the price of the FloatBond instrument using price.
floatbyhw	Create the following objects: FloatBond instrument HullWhite model ratecurve IRTree pricer Compute the price of the FloatBond instrument using price.
oasbybk	Create the following objects: OptionEmbeddedFixedBond instrument BlackKarasinski model ratecurve IRTree pricer Compute the OAS of the OptionEmbeddedFixedBond instrument using oas.
oasbybdt	Create the following objects: OptionEmbeddedFixedBond instrument BlackDermanToy model ratecurve IRTree pricer Compute the OAS of the OptionEmbeddedFixedBond instrument using oas.
oasbyhw	Create the following objects: OptionEmbeddedFixedBond instrument HullWhite model ratecurve IRTree pricer Compute the OAS of the OptionEmbeddedFixedBond instrument using oas.
optbndbyhw	Create the following objects: FixedBondOption instrument HullWhite model ratecurve IRTree pricer Compute the price of the FixedBondOption instrument using price.
optbndbybk	Create the following objects: FixedBondOption instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the FixedBondOption instrument using price.
optbndbycir	Create the following objects: FixedBondOption instrument CoxIngersollRoss model IRTree pricer Compute the price of the FixedBondOption instrument using price.
optbndbybdt	Create the following objects: FixedBondOption instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the FixedBondOption instrument using price.
optfloatbybk	Create the following objects: FloatBondOption instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the FloatBondOption instrument using price.
optfloatbybdt	Create the following objects: FloatBondOption instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the FloatBondOption instrument using price.
optfloatbycir	Create the following objects: FloatBondOption instrument CoxIngersollRoss model IRTree pricer Compute the price of the FloatBondOption instrument using price.
optfloatbyhw	Create the following objects: FloatBondOption instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the FloatBondOption instrument using price.
optembndbyhw	Create the following objects: OptionEmbeddedFixedBond instrument HullWhite model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFixedBond instrument using price.
optembndbybk	Create the following objects: OptionEmbeddedFixedBond instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFixedBond instrument using price.
optembndbycir	Create the following objects: OptionEmbeddedFixedBond instrument CoxIngersollRoss model IRTree pricer Compute the price of the OptionEmbeddedFixedBond instrument using price.
optembndbybdt	Create the following objects: OptionEmbeddedFixedBond instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFixedBond instrument using price.
optemfloatbybk	Create the following objects: OptionEmbeddedFloatBond instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFloatBond instrument using price.
optembndbybdt	Create the following objects: OptionEmbeddedFloatBond instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbybk	Create the following objects: OptionEmbeddedFloatBond instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbycir	Create the following objects: OptionEmbeddedFloatBond instrument CoxIngersollRoss model IRTree pricer Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbyhw	Create the following objects: OptionEmbeddedFloatBond instrument HullWhite model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFloatBond instrument using price.
optemfloatbybdt	Create the following objects: OptionEmbeddedFloatBond instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the OptionEmbeddedFloatBond instrument using price.
swapbyzero	Create the following objects: Swap instrument or for cross-currency swaps use CurrencySwap ratecurve Discount pricer for Swap instrument or for cross-currency swaps use FXDiscount Compute the price of the Swap instrument using price and compute the price of the CurrencySwap instrument using price.
swapbybk	Create the following objects: Swap instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Swap instrument using price.
swapbybdt	Create the following objects: Swap instrument BlackDermanToy model ratecurve IRTree pricer Compute the price of the Swap instrument using price.
swapbycir	Create the following objects: Swap instrument CoxIngersollRoss model IRTree pricer Compute the price of the Swap instrument using price.
swapbyhw	Create the following objects: Swap instrument BlackKarasinski model ratecurve IRTree pricer Compute the price of the Swap instrument using price.
LiborMarketModel	Create the following objects: Cap, Floor, FixedBond, FloatBond, FloatBondOption FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument SABRBraceGatarekMusiela or BraceGatarekMusiela model ratecurve IRMonteCarlo pricer Compute the price of the associated instrument using price.
LinearGaussian2F	Create the following objects: Cap, Floor, Swap, Swaption, FixedBond, FloatBond, FloatBondOption FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument LinearGaussian2F model ratecurve IRMonteCarlo pricer Compute the price of the associated instrument using price.