Mapping Financial Instruments Toolbox Functions 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 for instruments, models, and pricers.

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 use datetime and the object-based framework use yearfrac for date handling. For more information, see Difference Between yearfrac and date2time.

Financial Instruments Toolbox Function	Object-Based Workflow
cdsprice	Create the following objects: CDS instrument defprobcurve ratecurve Credit pricer Compute the price of the CDS instrument using price.
cdsoptprice	Create the following objects: CDSOption instrument CDSBlack model ratecurve CDSBlack pricer Compute the price of the CDSOption instrument using price.