Financial Toolbox

Chapter 1
Reference

This chapter contains detailed descriptions of all the functions in the Financial Toolbox. It first groups the functions in task categories and then explains each function in alphabetical order. You may also access the reference material online by typing

help function_name

Handling and Converting Dates

Current Time and Date

now
Current date and time.

today
Current date.

	Current Time and Date
`now`	Current date and time.
`today`	Current date.


	Date and Time Components
`datefind`	Indices of date numbers in matrix.
`datevec`	Date components.
`day`	Day of month.
`eomdate`	Last date of month.
`eomday`	Last day of month.
`hour`	Hour of date or time.
`lweekdate`	Date of last occurrence of weekday in month.
`minute`	Minute of date or time.
`month`	Month of date.
`months`	Number of whole months between dates.
`nweekdate`	Date of specific occurrence of weekday in month.
`second`	Second of date or time.
`weekday`	Day of the week.
`year`	Year of date.
`yeardays`	Number of days in year.


	Date Conversion
`datenum`	Create date number.
`datestr`	Create date string.
`m2xdate`	MATLAB serial date number to Excel serial date number.
`x2mdate`	Excel serial date number to MATLAB serial date number.


	Financial Dates
`busdate`	Next or previous business day.
`datemnth`	Date of day in future or past month.
`datewrkdy`	Date of future or past workday.
`days360`	Days between dates based on 360-day year.
`days365`	Days between dates based on 365-day year.
`daysact`	Actual number of days between dates.
`daysdif`	Days between dates for any day-count basis.
`fbusdate`	First business date of month.
`holidays`	Holidays and non-trading days.
`isbusday`	True for dates that are business days.
`lbusdate`	Last business date of month.
`wrkdydif`	Number of working days between dates.
`yearfrac`	Fraction of year between dates.

Note:
The date functions datenum, datestr, datevec, eomday, now, and weekday now ship with basic MATLAB. They originally shipped only with the Financial Toolbox, and their descriptions remain in this manual for your convenience.


	Coupon Bond Dates
`accrfrac`	Fraction of coupon period before settlement.
`cfamounts`	Cash flow and time mapping for bond portfolio.
`cfdates`	Cash flow dates for a fixed-income security with periodic payments.
`cftimes`	Time factors corresponding to bond cash flow dates.
`cpncount`	Coupon payments remaining until maturity.
`cpndaten`	Next coupon date after settlement date.
`cpndatenq`	Next quasi coupon date for fixed income security.
`cpndatep`	Previous coupon date before settlement date.
`cpndatepq`	Previous quasi coupon date for fixed income security.
`cpndaysn`	Number of days between settlement date and next coupon date.
`cpndaysp`	Number of days between previous coupon date and settlement date.
`cpnpersz`	Number of days in coupon period containing settlement date.

Formatting Currency and Charting Financial Data

Currency Formats

cur2frac
Decimal currency value to fractional value.

cur2str
Bank formatted text.

frac2cur
Fractional currency value to decimal value.

	Currency Formats
`cur2frac`	Decimal currency value to fractional value.
`cur2str`	Bank formatted text.
`frac2cur`	Fractional currency value to decimal value.


	Financial Charts
`bolling`	Bollinger band chart.
`candle`	Candlestick chart.
`dateaxis`	Convert serial-date axis labels to calendar-date axis labels.
`highlow`	High, low, open, close chart.
`movavg`	Leading and lagging moving averages chart.
`pointfig`	Point and figure chart.

Analyzing and Computing Cash Flows

Annuities

annurate
Periodic interest rate of annuity.

annuterm
Number of periods to obtain value.

	Annuities
`annurate`	Periodic interest rate of annuity.
`annuterm`	Number of periods to obtain value.


	Amortization and Depreciation
`amortize`	Amortization.
`depfixdb`	Fixed declining-balance depreciation.
`depgendb`	General declining-balance depreciation.
`deprdv`	Remaining depreciable value.
`depsoyd`	Sum of years' digits depreciation.
`depstln`	Straight-line depreciation.


	Present Value
`pvfix`	Present value with fixed periodic payments.
`pvvar`	Present value of varying cash flow.


	Future Value
`fvdisc`	Future value of discounted security.
`fvfix`	Future value with fixed periodic payments.
`fvvar`	Future value of varying cash flow.


	Payment Calculations
`payadv`	Periodic payment given number of advance payments.
`payodd`	Payment of loan or annuity with odd first period.
`payper`	Periodic payment of loan or annuity.
`payuni`	Uniform payment equal to varying cash flow.


	Rates of Return
`effrr`	Effective rate of return.
`irr`	Internal rate of return.
`mirr`	Modified internal rate of return.
`nomrr`	Nominal rate of return.
`taxedrr`	After-tax rate of return.
`xirr`	Internal rate of return for nonperiodic cash flow.


	Cash Flow Sensitivities
`cfconv`	Cash flow convexity.
`cfdur`	Cash flow duration and modified duration.

Fixed-Income Securities

Accrued Interest

acrubond
Accrued interest of security with periodic interest payments.

acrudisc
Accrued interest of discount security paying at maturity.

	Accrued Interest
`acrubond`	Accrued interest of security with periodic interest payments.
`acrudisc`	Accrued interest of discount security paying at maturity.


	Prices
`bndprice`	Price a fixed income security from yield to maturity.
`prbond`	Price of security with regular periodic interest payments.
`prdisc`	Price of discounted security.
`prmat`	Price with interest at maturity.
`proddf`	Price with odd first period.
`proddfl`	Price with odd first and last periods and settlement in first period.
`proddl`	Price with odd last period.
`prtbill`	Price of Treasury bill.


	Term Structure of Interest Rates
`disc2zero`	Zero curve given a discount curve.
`fwd2zero`	Zero curve given a forward curve.
`pyld2zero`	Zero curve given a par yield curve.
`tbl2bond`	Treasury bond parameters given Treasury bill parameters.
`tr2bonds`	Term-structure parameters given Treasury bond parameters.
`zbtprice`	Zero curve from coupon bond prices, using bootstrap method.
`zbtyield`	Zero curve from coupon bond yields, using bootstrap method.
`zero2disc`	Discount curve given a zero curve.
`zero2fwd`	Forward curve given a zero curve.
`zero2pyld`	Par yield curve given a zero curve.


	Yields
`beytbill`	Bond equivalent yield for Treasury bill.
`bndyield`	Yield to maturity for fixed income security.
`discrate`	Discount rate of a security.
`yldbond`	Yield to maturity of bond.
`ylddisc`	Yield of discounted security.
`yldmat`	Yield of security with interest at maturity.
`yldoddf`	Yield of security with odd first period.
`yldoddfl`	Yield of security with odd first and last periods and settlement in first period.
`yldoddl`	Yield of security with odd last period.
`yldtbill`	Yield of Treasury bill.


	Interest Rate Sensitivities
`bondconv`	Convexity.
`bonddur`	Macaulay and modified durations.

Analyzing Portfolios

Portfolio Analysis

corr2cov
Convert standard deviation and correlation to covariance.

cov2corr
Convert covariance to standard deviation and correlation coefficient.

ewstats
Expected return and covariance from return time series.

frontcon
Mean-variance efficient frontier.

pcalims
Linear inequalities for individual asset allocation.

pcgcomp
Linear inequalities for asset group comparison constraints.

pcglims
Linear inequalities for asset group minimum and maximum allocation.

pcpval
Linear inequalities for fixing total portfolio value.

portalloc
Optimal capital allocation.

portcons
Portfolio constraints.

portopt
Portfolios on constrained efficient frontier.

portrand
Randomized portfolio risks, returns, and weights.

portstats
Portfolio expected return and risk.

portsim
Random simulation of correlated asset returns.

portvrisk
Portfolio value at risk

ret2tick
Price tick series from incremental returns and initial price.

tick2ret
Incremental return series from a tick price series.

	Portfolio Analysis
`corr2cov`	Convert standard deviation and correlation to covariance.
`cov2corr`	Convert covariance to standard deviation and correlation coefficient.
`ewstats`	Expected return and covariance from return time series.
`frontcon`	Mean-variance efficient frontier.
`pcalims`	Linear inequalities for individual asset allocation.
`pcgcomp`	Linear inequalities for asset group comparison constraints.
`pcglims`	Linear inequalities for asset group minimum and maximum allocation.
`pcpval`	Linear inequalities for fixing total portfolio value.
`portalloc`	Optimal capital allocation.
`portcons`	Portfolio constraints.
`portopt`	Portfolios on constrained efficient frontier.
`portrand`	Randomized portfolio risks, returns, and weights.
`portstats`	Portfolio expected return and risk.
`portsim`	Random simulation of correlated asset returns.
`portvrisk`	Portfolio value at risk
`ret2tick`	Price tick series from incremental returns and initial price.
`tick2ret`	Incremental return series from a tick price series.

Pricing and Analyzing Derivatives

Option Valuation and Sensitivity

bdtbond
Black-Derman-Toy pricing of option-embedded bonds.

bdttrans
Translate a tree returned by bdtbond.

binprice
Binomial put and call pricing.

blkprice
Black's option pricing.

blsdelta
Black-Scholes sensitivity to underlying price change.

blsgamma
Black-Scholes sensitivity to underlying delta change.

blsimpv
Black-Scholes implied volatility.

blslambda
Black-Scholes elasticity.

blsprice
Black-Scholes put and call pricing.

blsrho
Black-Scholes sensitivity to interest rate change.

blstheta
Black-Scholes sensitivity to time-until-maturity change.

blsvega
Black-Scholes sensitivity to underlying price volatility.

opprofit
Option profit.

	Option Valuation and Sensitivity
`bdtbond`	Black-Derman-Toy pricing of option-embedded bonds.
`bdttrans`	Translate a tree returned by `bdtbond`.
`binprice`	Binomial put and call pricing.
`blkprice`	Black's option pricing.
`blsdelta`	Black-Scholes sensitivity to underlying price change.
`blsgamma`	Black-Scholes sensitivity to underlying delta change.
`blsimpv`	Black-Scholes implied volatility.
`blslambda`	Black-Scholes elasticity.
`blsprice`	Black-Scholes put and call pricing.
`blsrho`	Black-Scholes sensitivity to interest rate change.
`blstheta`	Black-Scholes sensitivity to time-until-maturity change.
`blsvega`	Black-Scholes sensitivity to underlying price volatility.
`opprofit`	Option profit.

GARCH Processes

Univariate GARCH Processes

ugarch
GARCH parameter estimation.

ugarchllf
Log-likelihood objective function.

ugarchpred
Forecast conditional variance.

ugarchsim
Simulate GARCH process.

	Univariate GARCH Processes
`ugarch`	GARCH parameter estimation.
`ugarchllf`	Log-likelihood objective function.
`ugarchpred`	Forecast conditional variance.
`ugarchsim`	Simulate GARCH process.

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Chapter 1Reference

Chapter 1
Reference