Financial Derivatives Toolbox 5.3

Latest Features

Version 5.3

Released: 09 Oct 2008
 

Version 5.3, part of Release 2008b, includes the following enhancements:

• Support for European chooser options using Black-Scholes model
• Support for Black model for European options
• Support for Black-Scholes model for European options with different types of dividends
• Support for Bjerksund-Stensland model for American options with continuous dividends
• Support for Roll-Geske-Whaley model for American call options with a single cash dividend

See the Release Notes for details.

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Version 5.2

Released: 01 Mar 2008
 

Version 5.2, part of Release 2008a, includes the following enhancements:

• Support for actual/365 (ISDA)
• Support for pricing callable and puttable bonds

See the Release Notes for details.

Version 5.1

Released: 01 Sep 2007
 

Version 5.1, part of Release 2007b, includes the following enhancements:

• New support for pricing and sensitivity computations of swaptions
• Support for 30/360 (ISMA) basis as a variant of 30/360E with annual compounding

See the Release Notes for details.

Version 5.0

Released: 01 Mar 2007
 

Version 5.0, part of Release 2007a, includes the following enhancements:

• Support for pricing and sensitivity computations using trinomial and implied trinomial trees
• Support for financial derivatives computations using International Securities Market Association (ISMA) basis

See the Release Notes for details.

Version 4.1

Released: 01 Sep 2006
 
Version 4.1, part of Release 2006b, includes bug fixes.

See the Release Notes for details.