5.2 Financial Toolbox 67

5.2. 1 main functions 68

Architecture 68

Main function 69

5.2.4 GUI tools 70

5.3 Financial Derivatives Toolbox 7 1

Main functions 7 1

Architecture 72

Main functions 73

5.3.4 GUI tools 73

5.4 Fixed Income Toolbox 75

5.4. 1 main functions

Architecture 75

Main functions 76

5.5 Summary of this chapter 77 6. 1 Date and currency data processing 78

6. 1. 1 date data format 78

6. 1.2 Date data processing function 79

6. 1.3 Non-trading day data 87

6. 1.4 Currency format conversion 88

6.2 MATLAB chart operation 89

6.2. 1 Creation of chart window 89

6.2.2 Saving and Loading Chart Data 90

6.2.3 Coordinates of Chart Window 92

6.3 Significance and Drawing of Line Diagram 94

6.3. Significance of1line chart 94

6.3.2 Line chart function 95

6.4 Candle Figure 96

The meaning of candle figure 96

6.4.2 Candle diagram function 97

6.5 Moving Average 98

6.5. Meaning of1moving average 98

6.5.2 Calculation of moving average 98

6.6 Bollinger Band 99

6.6. Calculation of1bollinger Band 100

6.6.2 Function of Bollinger Band 102

6.7 dynamic data acquisition 103

6.7. 1 Create Timer 103

6.7.2 Parameters of callback function 106

6.7.3 Timer Usage Example 107

6.8 Summary of this chapter 1 107. 1 Basic concept of bonds 1 1

7. 1. 1 Time value of cash flow11

7. 1.2 Calculation of present value and final value 1 12

7. 1.3 bond quotation method 1 14

7. 1.4 quotation and delivery price 1 15

7.2 Basic fixed income instruments and interest rate 1 16

7.2. 1 Basic fixed income instruments 1 16

7.2.2 Measurement of interest rate 1 16

7.3 SIA standard for date measurement 1 17

7.3. 1 pricing of long-term government bonds 1 18

7.3.2 Pricing of municipal bonds 120

7.3.3 Pricing of certificates of deposit treasury bills 12 1

7.4 Properties of fixed income securities 12 1

7.4. 1 fixed income securities data attributes 12 1

7.4.2 Calculation of output 122

7.4.3 Price Calculation 128

7.4.4 Sensitivity Analysis 137

7.5 Data Management of Fixed Income Securities 140

7.5. 1 instrument data 140

7.5.2 Reading and writing Excel data 146

7.5.3 Reading and writing data in other formats 149

7.6 Summary of this chapter 15 1 8. 1 Calculation of term structure of interest rate 152

8. 1. 1 interest bond yield 152

8. 1.2 Establishing yield curve 152

8. 1.3 guidance algorithm 154

8. 1.4 interest rate term structure calculation function 157

8. 1.5 calculation of forward interest rate 158

8. 1.6 interpolation of term structure curve 162

8.2 Term Structure Based on Interest Rate

8.2 Pricing Technology 163

8.2. 1 term structure expression of interest rate 163

8.2.2 Bond Pricing Technology 166

8.2.3 Cash flow pricing technology 167

8.2.4 Swap Pricing Technology 169

8.2.5 Product Pricing Function and Sensitivity

8.2.5 Analysis function 17 1

8.2.6 Construction of instrument data 172

8.3 interest rate model 175

8.3. 1 interest rate model classification 175

8.3.2 HL model 175

8.3.3 Variable Variance HL Model 179

8.3.4 Significance of HL model 185

8.4 BDT model 186

8.4. 1 BDT model construction 186

8.4.2 implementation of BDT model 189

8.5 Hardware and black model 190

8.5. 1 Basic Form of Trigeminal Tree 19 1

8.5.2 Construction of hardware model 19 1

8.5.3 The q parameter of HW model is 196.

8.5.4 BK model introduction 197

8.5.5 Hardware and BK Model 198 Implementation

8.6 HJM 200 model

8.6. 1 HJM model introduction 200

8.6.2 Implementing HJM Mode 200

8.7 Interest rate model pricing 202

8.7. 1 Input variables of interest rate model 202

Pricing of products 204

8.8 Abstract of this chapter 208 9. 1 No arbitrage and Black-Scholes equation 209

9. 1. 1 single step binary tree model 209

9. 1.2 Risk neutral pricing 2 10

9. 1.3 Mathematical model of arbitrage 2 1 1

9. 1.4 Black-Scholes model assumes 2 1 1.

9. 1.5 Blake-Scholes equation 2 12

9.2 Influencing factors of European options 2 14

9.2. 1 European option pricing function 2 14

9.2.2 Greek letter 2 15 for European options

9.3 Risk Measurement of European Option 2 17

9.3. 1 European option Greek letter function 2 17

9.3.2 Futures Option Pricing Function 2 19

9.3.3 Calculation of implied volatility 220

9.4 Numerical solution of option price 22 1

9.4. 1 polyphase binary tree model 22 1

9. 4. 2 CRR 223 type

9. 4. 3 EQP 224 type

9. 4. 4 ITT 225 type

9.5 CRR model 9.5 MATLAB 225

9.5. 1 asset price binary tree 225

Pricing function 228

9.5.3 Other pricing functions 23 1

9.5.4 Greek alphabet calculation 232

9.6 EQP model in matlab232

9.6. 1 asset price binary tree 233

9.6.2 Equivalence of Binary Tree 235

Pricing function 237

9.6.4 Other pricing functions 239

9.7 Pricing by Finite Difference Method 239

9.7. 1 introduction of finite difference method 239

Discretization of Independent Variables 240

9.7.3 Implicit difference solution 24 1

9.7.4 Boundary Conditions of Equation 242

9.8 This chapter summarizes the basic concepts of 244 10. 1 Portfolio 245.

10. 1. 1 price series and yield

Transformation between 10. 1. 1 sequence59000.00000000015

10. 1.2 variance, covariance and correlation coefficient 248

10. 1.3 Propositions and Summations of Linear Programming Problems

10. 1.3 standardization 250

10.2 portfolio risk-return calculation 25 1

10.2. 1 portfolio return and

10.2. 1 difference 25 1

10.2.2 Calculation of yield and standard deviation 25 1

10.2.3 VaR 253 calculation

10.3 efficient frontier of portfolio 254

10.3. 1 efficient frontier concept of assets 254

10.3.2 assets under simple constraints

10.3.2 combined effective boundary 255

10.3.3 under complex constraints

10.3.3 Efficient Frontier of Portfolio 258

10.3.4 determining assets by stochastic simulation method

10.3.3 combined effective boundary 260

10.4 Asset allocation 262

Overview of asset allocation 262

10.4.2 asset allocation problem solving 263

10.5 Abstract of this chapter 264 1 1. 1 common vanilla option 265

1 1.2 exotic options under different execution conditions 265

1 1.2. 1 Bermuda option 266

1 1.2.2 compound option 266

1 1.3 Call option 267

1 1.3. 1 Introduction to Call Option 267

1 1.3.2 Call option valuation 268

1 1.3.3 Call option pricing procedure 269

1 1.4 Asian option 27 1

1 1.4. 1 Introduction and classification of Asian options 27 1

Solution of Asian option 1 1.4.2 272

1 1.5 Asian option numerical solution 274

1 1.5. 1 path function of binary tree 275

1 1.5.2 Determination of average price 276

1 1.5.3 backtracking method to calculate option price 276

1 1.5.4 Pricing Example 277

1 1.5.5 Asian option pricing procedure 279

1 1.6 look back option 28 1

1 1.6. 1 Review Option 28 1 Introduction

Binary Tree Method 1 1.6.2 Pricing 283

1 1.6.3 View option pricing procedures 287

1 1.7 obstacle options 288

1 1.7. 1 Introduction to barrier options 288

1 1.7.2 examples and procedures of barrier option pricing 290

1 1.8 binary option 292

1 1.8. 1 binary options profile 292

1 1.8.2 binary options pricing procedure 293

1 1.9 option based on multiple assets 294

Monte Carlo simulation11.91.965654366

1 1.9.2 Path of related random variables

1 1.9.2 generation and Coleski decomposition 298

1 1.9.3 price difference option 299

1 1.9.4 Rainbow Option 30 1

1 1. 10 Summary of this chapter 302