Version 2.8, part of Release 2018b, includes the following enhancements:

  • ​Normal SABR Model: Compute implied Normal (Bachelier) volatility and sensitivity by the SABR model​​
  • Finite-Difference Methods: Calculate option prices by the Heston and local volatility models using the Alternating Direction Implicit (ADI) and Crank-Nicolson methods
  • Implied Volatility: Improve performance of the impvbybls and impvbyblk functions when using the Jäckel 2016 method

See the Release Notes for details.

Version 2.7, part of Release 2018a, includes the following enhancements:

  • ​Vanilla European Options: Compute prices and sensitivities using Heston, Bates, and Merton76 models with FFT and numerical integration
  • ​​Cox-Ingersoll-Ross Lattice Trees: Calculate prices and sensitivities of bonds, caps, floors, swaps, and options​​
  • Asian Options: Use ​H​aug, Haug, Margrabe model for discrete arithmetic fixed Asian options and Turnbull-Wakeman model for continuous arithmetic fixed options​​​​​

See the Release Notes for details.

Version 2.6, part of Release 2017b, includes the following enhancements:

  • Interest-Rate Instruments: ​Price swaptions with resettable legs and different basis conventions using Black, Normal, and lattice (tree-based) models​
  • ​​Interest-Rate Instruments: Use Hull-White calibration routines for Shifted Black and Normal models

See the Release Notes for details.

Version 2.5, part of Release 2017a, includes the following enhancements:

  • Interest-Rate Instruments: Price interest rate options with negative rates using normal volatility model and shifted SABR model​
  • ​​Equity Instruments: Price American vanilla options using Barone-Adesi and Whaley model​​

See the Release Notes for details.

Version 2.4, part of Release 2016b, includes the following enhancements:

  • Equity Instruments: Price barrier options with closed form, Crank-Nicolson method, and Monte Carlo simulation
  • Equity Instruments: Price European options with finite differences method
  • Hybrid Instruments: Price convertible bonds with a default risk and recovery rate using standard and implied trinomial trees
  • Numerix CAIL Engine: Access the Numerix Engine directly from MATLAB using an updated API

See the Release Notes for details.

Version 2.3, part of Release 2016a, includes the following enhancements:

  • Cap and Floor Instruments: Volatility stripping
  • Swap Instruments: Pricing cross-currency, fixed-fixed, and float-float swaps

See the Release Notes for details.