Monte Carlo simulation, options pricing routines, financial manipulation, plotting functions and additional date manipulation tools.

Select category:

Compute American call and put option prices using a binomial tree.

Compute implied volatility under the Black-Scholes model.

Compute European call and put option price using the Black-76 model.

Computes the Black-Scholes delta, the rate of change of the option value with respect to the value of the underlying asset.

Compute Black-Scholes gamma.

Computes implied volatility under the Black-Scholes model.

Computes elasticity of option under the Black-Scholes model.

Compute European call and put option prices.

Compute the Black-Scholes rho.

Compute the Black-Scholes theta.

Computes the Black-Scholes vega.

Calculate convexity CFCONV from given fixed-paid cash flow CF and period yield YIELD.

Calculate duration DUR and modified duration MOD_DUR, from given fixed-paid cash flow CF and period yield YIELD.

Convert standard deviation SIGMA and correlation coefficients CORR to covariance COV.

Convert covariance COV from input to standard deviation SIGMA and correlation coefficients CORR.

Compute the effective rate of return based on a nominal RATE over a number of periods, NUMPERIODS.

Download stock data from a connection.

Return the future value at the end of N periods of an initial lump sum investment L, given a per-period interest rate R.

Return the future value at the end of period N of an investment which consists of N payments of P in each period, assuming an interest rate R.

Prepare a Google connection for the fetch command to get Google historical quote data.

Compute the highest high value of DATA for the past NPERIODS (default: 14) across the dimension, DIM (default: 1).

Return the internal rate of return of a series of payments P from an initial investment I (i.e., the solution of 'npv (r, p) = i'.

Compute the lowest low value of DATA for the past NPERIODS (default: 14) across the dimension, DIM (default: 1).

Calculate the Moving Average Convergence/Divergence (MACD) line of an asset from the vector of prices (DATA).

Compute the modified internal rate of return.

Calculate the LEADing and LAGging moving average of an ASSET.

Compute the negative volume index of a security based on its closing price (CLOSEPRICE) and VOLume.

Compute the nominal rate of return based on a effective RATE over a number of periods, NUMPERIODS.

Return the number of regular payments of P necessary to amortize A loan of amount A and interest R.

Net present value of a series of payments.

Compute the on balance volume of a security based on its closing price (CLOSEPRICE) and VOLume.

Compute profit of an option.

Return the amount of periodic payment necessary to amortize a loan of amount a with interest rate R in N periods.

Compute the positive volume index of a security based on its closing price (CLOSEPRICE) and VOLume.

Return the present value V of an investment that will pay off P in one lump sum at the end of N periods, given the interest rate R.

Returns the present value of an investment that will pay off P for N consecutive periods, assuming an interest R.

Return the rate of return R on an investment of present value V which pays P in N consecutive periods.

Compute the relative strength index (RSI) of an asset from the vector of closing prices (CLOSEPRICE).

Compute the taxed rate of RETURN based on a PRETAXRETURN rate and a TAXRATE.

Return the volatility VOLAT of each column of the input matrix X.

Prepare a Yahoo connection for the fetch command to get Yahoo historical quote data.

If no output is requested, plot the bollinger bands of the ASSET.

Convert the current axis tick labels (or the axis handle H) to a date format.

Plot the HIGH, LOW, and CLOSE of a security.

Plot the point figure chart of an ASSET.

Plots price changes using a Renko chart.

Creates an object to represent the diffusion rate of a stochastic differential equation (SDE).

Creates an object to represent the drift rate of a stochastic differential equation (SDE).

Creates an object to represent a stochastic differential equation (SDE).

Simulates a stochastic differential equation (SDE) using Euler timestepping.

Simulates a stochastic differential equation (SDE).

Creates an object to represent a stochastic differential equation (SDE) using drift and diffusion objects.

Creates an object to represent a stochastic differential equation (SDE) in linear drift-rate form.

Creates an object to represent a stochastic differential equation (SDE) in in mean-reverting drift-rate form.

Creates an object to represent an arithmetic Brownian motion.

Creates an object to represent a constant elasticity of variance (CEV) stochastic differential equation (SDE).

Creates an object to represent a Cox-Ingersoll-Ross (CIR) mean-reverting square root diffusion.

Creates an object to represent a geometric Brownian motion (GBM).

Creates an object to represent a Heston stochastic volatility model.

Creates an object to represent a Hull-White/Vasicek (HWV) diffusion.

Return the datenum of the next or previous business day from REFDATE.

Generate a list of business dates at the end of the periods defined between (including) SDATE and EDATE.

Find any instances of the 'subset' in the 'superset' with the 'tol'erance.

Return hours of a date.

Calculates the number of days between two dates.

Return the month (M) and day (D) of Easter in the Gregorial calendar on a given year or years.

Return the last day of the month M for the year Y in datenum format.

Return the datenum of the first business day of the YEAR and MONTH.

List holidays and non-trading days.

Return hours of a date.

Return true if the REFDATE is a business date REFDATE.

Return the datenum of the last business day of the YEAR and MONTH.

Returns the last occurrence of WEEKDAY from the MONTH and YEAR.

Convert DATENUMS from the internal date format to the format used by Microsoft Excel.

Return minutes of a date.

Return month of a date.

Return the number of whole months between STARTDATE and ENDDATE.

Returns the Nth occurrence of WEEKDAY from the MONTH and YEAR.

Return seconds of a date.

Find the third Wednesday of the month specified by the MONTH and YEAR.

Returns the current local date as the number of days since Jan 1, 0000.

Return the week number of the year of a date

Convert DATENUMS from the Microsoft Excel date format to the format used by 'datenum'.

Return the number of days in the year Y with an optional basis B.

Return year of a date.

Package: financial