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Overview of the Finance Package
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Calling Sequence
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Finance[command](arguments)
command(arguments)
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Description
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The Financial Modeling package is a collection of tools for mathematical finance. This package builds on the functionality available in other packages such as LinearAlgebra, Statistics, Optimization, and CurveFitting. The package supports a wide range of common tasks such as date arithmetic, cash flow analysis, option pricing, term structure analysis, and simulation.
For an introduction to the Finance package, see the Finance Tour.
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Date Arithmetic
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The Financial Modeling package provides various commands for performing date arithmetic. In particular, it supports over 20 different calendars and 15 day count conventions. In addition, the package provides tools for modifying existing calendars and creating non-standard calendars.
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AddHoliday
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add a holiday to the given calendar
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AdjustDate
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adjust a non-business day according to the given convention
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AdvanceDate
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advance a non-business day according to the given convention
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Calendar
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create a new calendar
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DayCount
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return the number of days between two dates according to a given convention
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DayCounter
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advance to the nth given day of the given month
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DayOfWeek
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return the day of the week on which the given date falls
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EvaluationDate
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return the global evaluation date
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FormatDate
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return a string containing formatted date
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IsBusinessDay
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check if a given date is a business day according to a given calendar
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IsEndOfMonth
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check if a given date corresponds to the end of a month according to a given calendar
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IsHoliday
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check if a given date is a holiday according to a given calendar
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JoinBusinessDays
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construct new calendar by joining business days from the given two calendars
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JoinHolidays
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construct new calendar by joining holidays from the given two calendars
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NextWeekday
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advance the given date to the next given day of the week
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NthWeekday
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advance to the nth given day of the given month
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ParseDate
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parse a string containing date information
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RemoveHoliday
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remove a holiday from the given calendar
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SetEvaluationDate
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set the global evaluation date
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Settings
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return default settings
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TimeGrid
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return an object for time discretization
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TodaysDate
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return today's date according to the system clock
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YearFraction
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return the interval between two dates as a fraction of a year according to a given convention
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More information and detailed examples can be found in Finance/Overview/Calendars and Finance/Overview/DayCounters.
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Cash Flow Analysis
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The Financial Modeling package provides a number of tools for constructing cash flows and for performing basic sensitivity analysis.
More information and detailed examples can be found in Finance/Overview/CashFlowAnalysis.
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Financial Instruments
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The Financial Modeling package provides tools for constructing various financial instruments such as European-style and American-style options with any payoff function, bonds, as well as some interest rate instruments. In addition to this, the package provides tools for valuing these instruments and computing their market sensitivities (the Greeks). The following instruments are supported.
The following tools are available for working with the above instruments.
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BlackPrice
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calculate the price of an interest rate instrument using the Black model
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BlackScholesDelta
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calculate the Delta of a European-style option in the Black-Scholes model
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BlackScholesGamma
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calculate the Gamma of a European-style option in the Black-Scholes model
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BlackScholesPrice
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calculate the price of a European-style option using the Black-Scholes model
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BlackScholesRho
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calculate the Rho of a European-style option in the Black-Scholes model
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BlackScholesTheta
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calculate the Theta of a European-style option in the Black-Scholes model
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BlackScholesVega
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calculate the Vega of a European-style option in the Black-Scholes model
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BondOptionPrice
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calculate the price of a discount bond option in the given affine short-rate model
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CleanPrice
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calculate the clean price of a bond
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Convexity
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calculate the convexity of a bond
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DirtyPrice
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calculate the dirty price of a bond
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DiscountBondPrice
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calculate a discount bond price
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Duration
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calculate the duration of a bond
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ImpliedVolatility
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calculate the implied volatility of a European-style option in the Black-Scholes model
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ImpliedVolatilitySurface
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construct a volatility term structure
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LatticePrice
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calculate the price of a financial instrument using a binomial or a trinomial tree
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LocalVolatility
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calculate the local volatility of a European-style option
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LocalVolatilitySurface
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create new local volatility term structure
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Schedule
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define a new payment schedule
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YieldFromCleanPrice
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calculate the yield of a bond using its clean price
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YieldFromDirtyPrice
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calculate the yield of a bond using its dirty price
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More information and detailed examples can be found in Finance/Examples/EuropeanOptions, and Finance/Examples/AsianOptions.
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Interest Rates
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The Finance package also provides tools for creating and manipulating term structures of interest rates as well as volatility term structures. Here is the list of relevant commands:
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BenchmarkRate
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calculate benchmark rate based on a specified calendar
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CompoundFactor
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return a compound factor for the specified date or time
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DiscountCurve
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construct a yield curve based on known discount rates
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DiscountFactor
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return a discount factor for the specified date or time
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EquivalentRate
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calculate equivalent interest rate
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FairRate
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return the fair rate of an interest rate swap
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FairSpread
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return the fair spread of an interest rate swap
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ForwardRate
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compute forward rates based on a given term structure
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ForwardCurve
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construct a yield curve based on known forward rates
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ImpliedRate
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calculate interest rate implied by a given compound factor
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LoadHistory
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load historic date for a given benchmark rate
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ParRate
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compute par rates based on a given term structure
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ZeroCurve
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construct a yield curve based on known zero rates
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ZeroRate
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compute zero rates based on a given term structure
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More information and detailed examples can be found in Finance/Overview/TermStructures.
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Lattice Methods
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The Financial Modeling package also provides tools for constructing binomial and trinomial trees.
The following commands can be used to inspect/manipulate a tree data structure.
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GetDescendants
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return descendants for a node of a binomial or trinomial tree
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GetLocalVolatility
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return the local volatility node of a Black-Scholes binomial or trinomial tree
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GetProbabilities
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return probabilities for a node of a binomial or trinomial tree
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GetSize
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get the size of a binomial/trinomial tree at the given level
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GetUnderlying
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return the value of the underlying for a node of a binomial or trinomial tree
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SetProbabilities
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set probabilities for a node of a binomial or trinomial tree
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SetUnderlying
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set the value of the underlying for a node of a binomial or trinomial tree
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More information and detailed examples can be found in Finance/Overview/LatticeMethods.
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Short Rate Models
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The Financial Modeling package provides the following short rate models.
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Stochastic Processes
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The Financial Modeling package supports a wide range of stochastic processes used in Financial Engineering. This includes processes for modeling equity prices, mean-reverting processes, pure jump processes, jump diffusions as well as multivariate Ito processes. In addition, the package provides tools for building more complicated processes from simple ones. Below is the list of supported processes:
Here are some related commands.
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Diffusion
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compute the diffusion component of an Ito process
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Drift
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compute the drift component of an Ito process
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ExpectedShortfall
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calculate the expected shortfall
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ExpectedValue
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compute a Monte Carlo estimate of the specified expression
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PathGenerator
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create new path generator for the specified stochastic process
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PathPlot
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plot sample path(s) of the specified stochastic process
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SamplePath
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generate a sample path for the specified stochastic process
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SampleValues
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generate sample values for the specified stochastic process
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ValueAtRisk
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estimate value-at-risk for the specified expression
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More information and detailed examples can be found in Finance/Overview/StochasticProcesses.
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Notes
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Limited functionality from the Finance package is available on 64-bit Windows.
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Download Help Document
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