Fixed-Income Toolbox™

Converting an IRDataCurve or IRFunctionCurve Object

Introduction

The IRDataCurve and IRFunctionCurve objects for interest-rate curves support conversion to:

• A RateSpec structure. The RateSpec generated from an IRDataCurve or IRFunctionCurve object, using the toRateSpec method, is identical to the RateSpec structure created with intenvset using Financial Derivatives Toolbox software.

• A vector of dates and data from an IRDataCurve object acceptable to prbyzero, bkcall, bkput, tfutbyprice, and tfutbyyield or any function that requires a term structure of interest rates.

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Using the toRateSpec Method

To convert an IRDataCurve or IRFunctionCurve object to a RateSpec structure, you must first create an interest-rate curve object. Then, use the toRateSpec method for an IRDataCurve object or thetoRateSpec method for an IRFunctionCurve object.

Example

Create a data vector from the following data: http://www.ustreas.gov/offices/domestic-finance/debt-management/
interest-rate/yield.shtml:

Data = [1.85 1.84 1.91 2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[30 90 180 360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],2);
scatter(Dates,Data)
datetick

Create an IRDataCurve interest-rate curve object:

rr = IRDataCurve('Zero',today,Dates,Data);

Convert to a RateSpec:

rr.toRateSpec(today+30:30:today+365)
ans = 
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [12x1 double]
            Rates: [12x1 double]
         EndTimes: [12x1 double]
       StartTimes: [12x1 double]
         EndDates: [12x1 double]
       StartDates: 733569
    ValuationDate: 733569
            Basis: 0
     EndMonthRule: 1

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Using Vector of Dates and Data Methods

You can use the getZeroRates method for an IRDataCurve object with a Dates property to create a vector of dates and data acceptable for prbyzero in Financial Toolbox software and bkcall, bkput, tfutbyprice, and tfutbyyield in Fixed-Income Toolbox software.

Example

This is an example of using the IRDataCurve method getZeroRates with prbyzero:

Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],1);
irdc = IRDataCurve('Zero',today,Dates,Data,'InterpMethod','pchip');
Maturity = daysadd(today,8*360,1);
CouponRate = .055;
ZeroDates = daysadd(today,180:180:8*360,1);
ZeroRates = irdc.getZeroRates(ZeroDates);
BondPrice = prbyzero([Maturity CouponRate], today, ZeroRates, ZeroDates)
BondPrice =
  113.9221

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Creating an IRFunctionCurve Object

Function Reference