Fixed-Income Toolbox™

IRDataCurve - Construct interest-rate curve object from dates and data

Class

@IRDataCurve

Syntax

CurveObj = IRDataCurve(Type, Settle)
CurveObj = IRDataCurve(Type, Settle, Dates, Data, 'Parameter1', 
Value1, 'Parameter2', Value2, ...)

Arguments

`Type`	Type of interest-rate curve. Acceptable values are `forward`, `zero`, or `discount`.
`Settle`	Scalar or column vector of settlement dates.
`Dates`	(Optional) Dates corresponding to rate data.
`Data`	(Optional) Interest-rate data for the curve object.
`Compounding`	(Optional) Compounding value for the `IRDataCurve` object: -1 1 2 (default) 3 4 6 12
`Basis`	(Optional) Day-count basis of the interest-rate curve. A vector of integers. 0 = actual/actual (default) 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)
`InterpMethod`	(Optional) Values are: `'linear'` — Linear interpolation (default). `'constant'` — Piecewise constant interpolation. `'pchip'` — Piecewise cubic Hermite interpolation. `'spline'` — Cubic spline interpolation.

Description

CurveObj = IRDataCurve(Type, Settle, Dates, Data, 'Parameter1', Value1, 'Parameter2', Value2, ...) constructs an interest-rate curve with the optionally specified Dates and Data. You must enter the optional arguments for Basis, Compounding, and InterpMethod as parameter/value pairs.

Alternatively, an IRDataCurve object can be bootstrapped from market data using the bootstrap method.

After an IRDataCurve curve object is constructed, you can use the following methods to determine the forward rates, zero rates, and discount factors. In addition, you can use the toRateSpec method to convert the interest-rate curve object to a RateSpec structure.

Method	Description
`getForwardRates`	Returns forward rates for input dates.
`getZeroRates`	Returns zero rates for input dates.
`getDiscountFactors`	Returns discount factors for input dates.
`getParYields`	Returns par yields for input dates.
`toRateSpec`	Converts to be a `RateSpec` object; this structure is identical to the `RateSpec` produced by the Financial Derivatives Toolbox function `intenvset`.
`bootstrap`	Bootstraps an interest rate curve from market data.

Examples