Financial Toolbox™ provides functions for the mathematical modeling and statistical analysis of financial data. You can analyze, backtest, and optimize investment portfolios taking into account turnover, transaction costs, semi-continuous constraints, and minimum or maximum number of assets. The toolbox enables you to estimate risk, model credit scorecards, analyze yield curves, price fixed-income instruments and European options, and measure investment performance.
Stochastic differential equation (SDE) tools let you model and simulate a variety of stochastic processes. Time series analysis functions let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.
Learn the basics of Financial Toolbox
Financial market data for dates and currencies
Timetables in Finance
Timetables, date transformations and merges, chart technical indicators
Financial Data Analytics
Cash flows and performance metrics, regression analysis, financial data charting
Portfolio Optimization and Asset Allocation
Create portfolios, evaluate composition of assets, perform mean-variance, CVaR, MAD, or custom portfolio optimization, backtest investment strategies, perform performance attribution
Credit risk, transition probabilities for credit ratings, credit quality thresholds, credit scorecards
Price and Analyze Financial Instruments
Yield curves, valuation for fixed-income securities, equity derivatives pricing
Stochastic Differential Equation (SDE) Models
Parametric models, such as Geometric Brownian Motion (GBM) and Heston Volatility