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Financial Instruments in Matlab. Portfolios, Debt, Mortgages, Derivatives and Interest Rates

Financial Instruments in Matlab. Portfolios, Debt, Mortgages, Derivatives and Interest Rates

          
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About the Book

The objective of this book is to deepen the financial instruments in MATLAB. Will be analyzed portfolios, mortgages, debt, derivatives. interest rates and other instruments. MATLAB Financial Instruments Toolbox provides functions for pricing, modeling, and analyzing fixed-income, credit, and equity instrument portfolios. You can use the toolbox to perform cash-flow modeling and yield curve fitting analysis, compute prices and sensitivities, view price evolutions, and perform hedging analyses using common equity and fixed-income modeling methods. The toolbox lets you create new financial instrument types, fit yield curves to market data using parametric fitting models and bootstrapping, and construct dual curve-based pricing models. Hedging portfolio is an important consideration in modern finance. Whether or not to hedge, how much portfolio insurance is adequate, and how often to rebalance a portfolio are important considerations for traders, portfolio managers, and financial institutions alike. If there were no transaction costs, financial professionals would prefer to rebalance portfolios continually, thereby minimizing exposure to market movements. However, in practice, the transaction costs associated with frequent portfolio rebalancing may be expensive. Therefore, traders and portfolio managers must carefully assess the cost required to achieve a particular portfolio sensitivity (for example, maintaining delta, gamma, and vega neutrality). Thus, the hedging problem involves the fundamental tradeoff between portfolio insurance and the cost of such insurance coverage. Mortgage-backed securities (MBSs) are a type of investment that represents ownership in a group of mortgages. Principal and interest from the individual mortgages are used to pay principal and interest on the MBS. Ownership in a group of mortgages is typically represented by a pass-through certificate (PC). Most pass-through certificates are issued by the Government National Mortgage Agency, a branch of the United States government, or by one of two private corporations: Fannie Mae or Freddie Mac. With these certificates, homeowners' payments pass from the originating bank through the issuing agency to holders of the certificates. These agencies also frequently guarantee that the certificate holder receives timely payment of principal and interest from the PCs. Financial Instruments Toolbox contains the function liborfloat2fixed, which computes a fixed-rate par yield that equates the floating-rate side of a swap to the fixedrate side. The solver sets the present value of the fixed side to the present value of the floating side without having to line up and compare fixed and floating periods. This book shows how to compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest rate swaps with several counterparties. CVA is the expected loss on an over-the-counter contract or portfolio of contracts due to counterparty default. The CVA for a particular counterparty is defined as the sum over all points in time of the discounted expected exposure at each momento multiplied by the probability that the counterparty defaults at that moment, all multiplied by 1 minus the recovery rate. Financial Instruments Toolbox class structure supports interest-rate curve objects


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Product Details
  • ISBN-13: 9781983462306
  • Publisher: Createspace Independent Publishing Platform
  • Publisher Imprint: Createspace Independent Publishing Platform
  • Language: English
  • ISBN-10: 1983462306
  • Publisher Date: 01 Jan 2018
  • Binding: Paperback


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