Learn more about Financial Derivatives Toolbox

Version 5.5 (R2009b) Financial Derivatives Toolbox Software

This table summarizes what's new in Version 5.5 (R2009b):

New Features and Changes	Version Compatibility Considerations	Fixed Bugs and Known Problems	Related Documentation at Web Site
Yes Details below	No	Bug Reports Includes fixes	No

New features and changes introduced in this version are:

• Support for the Basket Option Instrument Using the Longstaff-Schwartz Model and Nengjiu Ju Approximation Model

• Support for the BUS/252 Day-Count Convention

Support for the Basket Option Instrument Using the Longstaff-Schwartz Model and Nengjiu Ju Approximation Model

Supports the following using the Longstaff-Schwartz model:

Function	Purpose
basketbyls	Price basket options using the Longstaff-Schwartz model.
basketsensbyls	Calculate price and sensitivities for basket options using the Longstaff-Schwartz model.
basketstockspec	Specify basket stock structure.

Supports the following using the Nengjiu Ju approximation model:

Function	Purpose
basketbyju	Price basket options using the Nengjiu Ju model.
basketsensbyju	Calculate price and sensitivities for basket options using the Nengjiu Ju model.

For more information, see Basket Options in the Financial Derivatives Toolbox™ User's Guide documentation.

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.

Version 5.5.1 (R2010a) Financial Derivatives Toolbox Software

Version 5.4 (R2009a) Financial Derivatives Toolbox Software

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