User manual MATLAB FINANCIAL TOOLBOX RELEASE NOTES

[. . . ] Other product or brand names may be trademarks or registered trademarks of their respective holders. Patents The MathWorks products are protected by one or more U. S. Please see www. mathworks. com/patents for more information. Contents Summary by Version . Version 3. 7. 1 (R2010a) Financial Toolbox Software 1 4 5 7 8 9 13 17 19 20 23 . . . Version 3. 7 (R2009b) Financial Toolbox Software . Version 3. 6 (R2009a) Financial Toolbox Software . [. . . ] If you are upgrading from a software version other than the most recent one, review the current release notes and all interim versions. For example, when you upgrade from V1. 0 to V1. 2, review the release notes for V1. 1 and V1. 2. What Is in the Release Notes New Features and Changes · New functionality · Changes to existing functionality Version Compatibility Considerations When a new feature or change introduces a reported incompatibility between versions, the Compatibility Considerations subsection explains the impact. Compatibility issues reported after the product release appear under Bug Reports at The MathWorksTM Web site. Bug fixes can sometimes result in incompatibilities, so review the fixed bugs in Bug Reports for any compatibility impact. Fixed Bugs and Known Problems The MathWorks offers a user-searchable Bug Reports database so you can view Bug Reports. The development team updates this database at release time and as more information becomes available. Bug Reports include provisions for any known workarounds or file replacements. Information is available for bugs existing in or fixed in Release 14SP2 or later. Information is not available for all bugs in earlier releases. 2 Summary by Version Access Bug Reports using your MathWorks Account. 3 Financial ToolboxTM Release Notes Version 3. 7. 1 (R2010a) Financial Toolbox Software This table summarizes new features in Version 3. 7. 1 (R2010a): Version Compatibility Considerations No Related Documentation at Web Site Printable Release Notes: PDF Current product documentation There are no new features or changes in this version. New Features and Changes No Fixed Bugs and Known Problems Bug Reports 4 Version 3. 7 (R2009b) Financial ToolboxTM Software Version 3. 7 (R2009b) Financial Toolbox Software This table summarizes new features in Version 3. 7 (R2009b): Version Compatibility Considerations No Related Documentation at Web Site No New Features and Changes Yes Details below Fixed Bugs and Known Problems Bug Reports New features introduced in this version are: · "Support for the BUS/252 Day-Count Convention" on page 5 · "Extended Support for New York Stock Exchange Closures" on page 5 · "Enhancements for Bond Pricing" on page 5 Support for the BUS/252 Day-Count Convention Support for the Basis day-count convention for BUS/252. BUS/252 is the number of business days between the previous coupon payment and the settlement data divided by 252. BUS/252 business days are non-weekend, non-holiday days. The holidays. m file defines holidays. Extended Support for New York Stock Exchange Closures The current holidays function covers holidays and non-trading days from 1950 to 2050. Using nyseclosures, you can determine all known and anticipated closures from January 1, 1885 to December 31, 2050. Enhancements for Bond Pricing Support for the following enhancements to bond pricing functions: · Provide the ability to specify the compounding frequency separately from the coupon frequency. 5 Financial ToolboxTM Release Notes · Enable specification of a discounting basis. A discounting basis has two purposes in Price/YTM calculations: - Computing the accrued interest Computing the discount factors · Support the specification of a formula for computing the interest in the last coupon period. The enhanced bond pricing functions are: Function accrfrac bndprice bndyield bndspread bnddurp bnddury bndconvp bndconvy cfamounts cftimes Purpose Calculate fraction of coupon period before settlement. Price fixed-income security from yield to maturity. Calculate yield to maturity for fixed-income security. Calculate static spread over spot curve. [. . . ] Because use of Financial Time Series Toolbox required the purchase and installation of Financial Toolbox software, all customers previously licensed for Financial Time Series Toolbox will continue to have access to it. Financial Time Series Frequency Conversion Functions Modified The suite of time series frequency conversion functions (todaily, toweekly, tomonthly, tosemi, and toannual) has been extensively modified. Consult the function references in the Financial Toolbox User's Guide for specifics. 20 Version 3. 0 (R2006a) Financial ToolboxTM Software Continuous Compounding Option Removed from plyd2zero Continuous compounding is no longer available for pyld2zero. Compounding for this function is now consistent with compounding for the function zero2pyld. An error message is generated if you attempt to use continuous compounding with these functions. New Statistical Functions The new functions in Version 3. 0 of Financial Toolbox software fall into these four categories: · "Multivariate Normal Regression Without Missing Data" on page 21 · "Multivariate Normal Regression With Missing Data (Expectation Conditional Maximization)" on page 22 · "Least Squares Regression With Missing Data (Expectation Conditional Maximization)" on page 22 · "Financial Model Transformation Function" on page 22 Multivariate Normal Regression Without Missing Data mvnrfish mvnrmle mvnrobj mvnrstd Fisher information matrix for multivariate normal or least-squares regression Multivariate normal regression (ignore missing data) Log-likelihood function for multivariate normal regression without missing data Evaluate standard errors for multivariate normal regression model 21 Financial ToolboxTM Release Notes Multivariate Normal Regression With Missing Data (Expectation Conditional Maximization) ecmmvnrfish ecmmvnrmle ecmmvnrobj ecmmvnrstd Fisher information matrix for multivariate normal regression model Multivariate normal regression with missing data Log-likelihood function for multivariate normal regression with missing data Evaluate standard errors for multivariate normal regression model Least Squares Regression With Missing Data (Expectation Conditional Maximization) ecmlsrmle ecmlsrobj Least-squares regression with missing data Log-likelihood function for least-squares regression with missing data Financial Model Transformation Function convert2sur Convert a multivariate normal regression model into a seemingly unrelated regression model 22 Version 2. 5 (R14SP3) Financial ToolboxTM Software Version 2. 5 (R14SP3) Financial Toolbox Software This table summarizes what's new in Version 2. 5 (R14SP3): Version Compatibility Considerations No Related Documentation at Web Site No New Features and Changes Yes Details below Fixed Bugs and Known Problems Bug Reports New Statistical Functions Version 2. 5 introduces a set of financial statistical computation routines that compute values, such as mean and covariance, when there are missing data elements within a larger data set. 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