Financial Toolbox

Analyze financial data and develop financial models

Financial Toolbox™ provides functions for the mathematical modeling and statistical analysis of financial data. You can analyze, backtest, and optimize investment portfolios taking into account turnover, transaction costs, semi-continuous constraints, and minimum or maximum number of assets. The toolbox enables you to estimate risk, model credit scorecards, analyze yield curves, price fixed-income instruments and European options, and measure investment performance.

Stochastic differential equation (SDE) tools let you model and simulate a variety of stochastic processes. Time series analysis functions let you perform transformations or regressions with missing data and convert between different trading calendars and day-count conventions.

Collection of financial tools to chart technical indicators for time series oscillations, time series volatilities, time series volumes, and time series rate of change.

Technical Indicators and Financial Charts

Compute technical indicators (including moving averages, momentums, oscillators, volume indicators, and rate of change) and create financial charts (including candlestick, open-high-low-close, and Bollinger band charts).

Documentation

Investment Performance Metrics

Evaluate investment performance using built-in functions for calculating metrics such as Sharpe ratio, information ratio, tracking error, risk-adjusted return, sample lower partial moments, expected lower partial moments, maximum drawdown, and expected maximum drawdown.

Documentation

Portfolio Optimization Approaches

Perform mean-variance, mean absolute deviation (MAD), and conditional value at risk (CVaR) portfolio optimizations.

Getting Started with Portfolio Optimization (4:12)

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Efficient Portfolios and Efficient Frontiers

Estimate the efficient portfolio and its weights that maximize Sharpe ratio, visualize efficient frontiers, and calculate portfolio risks, including portfolio standard deviation, MAD, VaR, and CVaR.

CVaR Portfolio Optimization (4:56)

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Portfolio Constraints and Transaction Costs

Apply portfolio optimization constraints, including tracking error, linear inequality, linear equality, bound, budget, group, group ratio, average turnover, one-way turnover, minimum number of assets, and maximum number of assets. Incorporate proportional or fixed transaction costs on either gross or net portfolio return optimization.

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Strategy Backtesting Framework

Define investment strategies and use the backtesting framework to run backtests, analyze results, and generate performance metrics for your strategies from historical or simulated market data. Incorporate technical indicators, sentiment, and other trading signals into your strategies. The framework also supports custom transaction costs, expanding or rolling lookback windows, margin trading, and long/short portfolios.

Backtesting Strategy Framework in Financial Toolbox (2:17)

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Cash Flow Analysis

Use Financial Toolbox to calculate present and future values; determine nominal, effective, and modified internal rates of return; calculate amortization and depreciation; and determine the periodic interest rate paid on loans or annuities.

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Fixed-Income Analysis and Option Pricing

Calculate price, yield-to-maturity, duration, and convexity of fixed-income securities. Compute analytics such as complete cash flow date, cash flow amounts, and time-to-cash-flow mapping for bonds. Calculate option prices and greeks using Black and Black-Scholes formulas.

Reinforcement Learning for Trading (4:15)

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Monte Carlo Simulation

Generate random variables for Monte Carlo simulations based on a variety of SDE models, including Brownian motion, geometric Brownian motion, constant elasticity of variance, Cox-Ingersoll-Ross, Hull-White/Vasicek, and Heston.

Monte Carlo Simulation

Product Resources:

Documentation Functions Technical articles User stories Product requirements Release notes

“MATLAB and MATLAB Compiler SDK enabled us to rapidly deliver a sophisticated portfolio analytics web application with confidence that it will return accurate results extremely quickly, ensuring a highly usable and stable platform for our clients.”
Lee Eriera, Frontier Advisors

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