Fixed-Income Toolbox™

getParYields - Get par yields for input dates for `IRFunctionCurve`

Class

@IRFunctionCurve

Syntax

F = getparyields(CurveObj, InpDates)
F = getparyields(CurveObj, InpDates, 'Parameter1', 
Value1, 'Parameter2', Value2, ...)

Arguments

`CurveObj`	Interest-rate curve object that is constructed using `IRFunctionCurve`.
`InpDates`	Vector of input dates using MATLAB date format. The input dates must be after the settle date.
`Compounding`	(Optional) Compounding values for par yield rates: -1 1 2 3 4 6 12
`Basis`	(Optional) Day-count basis values for par yield rates: 0 = actual/actual 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (PSA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA) 12 = actual/365 (ISDA)

Description

F = getparyields(CurveObj, InpDates, 'Parameter1', Value1, 'Parameter2', Value2, ...) returns par yields for the input dates. You must enter the optional arguments for Basis and Compounding as parameter/value pairs.

Examples

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
irfc.getParYields(today+30:30:today+720)
ans =

    0.0202
    0.0205
    0.0205
    0.0207
    0.0207
    0.0209
    0.0210
    0.0209
    0.0211
    0.0212
    0.0213
    0.0214
    0.0216
    0.0217
    0.0218
    0.0220
    0.0220
    0.0222
    0.0223
    0.0223
    0.0225
    0.0226
    0.0227
    0.0228