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MappingFinancial Instruments ToolboxFunctions for Credit Derivative Instrument Objects

The following table lists the Financial Instruments Toolbox™ functions for credit derivative instruments mapped to the associated workflow using the object-based framework forinstruments,models, andpricers.

Note

The function-based workflows and the object-based workflows should not be mixed; they are parallel tracks for instrument pricing. The function-based and object-based workflows can return different instrument prices even if you use the same data. The difference is because the existing Financial Instruments Toolbox functions internally usedatetimeand the object-based framework useyearfracfor date handling. For more information, seeDifference Between yearfrac and date2time.

Financial Instruments Toolbox Function Object-Based Workflow
cdsprice Create the following objects:

  1. CDSinstrument

  2. defprobcurve

  3. ratecurve

  4. Creditpricer

Compute the price of theCDSinstrument usingprice.
cdsoptprice Create the following objects:

  1. CDSOptioninstrument

  2. CDSBlackmodel

  3. ratecurve

  4. CDSBlackpricer

Compute the price of theCDSOptioninstrument usingprice.

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