Fixed-Income Toolbox™

IRFunctionCurve - Construct interest-rate curve object from function handle or function by fitting to market data using object methods

Class

@IRFunctionCurve

Syntax

CurveObj = IRFunctionCurve(Type, Settle, FunctionHandle)
CurveObj = IRFunctionCurve(Type, Settle, FunctionHandle, 
'Parameter1', Value1, 'Parameter2', Value2, ...)

Arguments

`Type`	Type of interest-rate curve: `zero`, `forward`, or `discount`.
`Settle`	Scalar or column vector of settlement dates.
`FunctionHandle`	Function handle that defines the interest-rate curve. The function handle requires one numeric input (time-to-maturity) and returns one numeric output (interest rate or discount factor). For more information on defining a function handle, see the MATLAB Programming Fundamentals documentation.
`Compounding`	(Optional) Compounding value for the bond: -1 1 2 (default) 3 4 6 12
`Basis`	(Optional) Day-count basis of the bond. 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)

Description

CurveObj = IRFunctionCurve(Type, Settle, FunctionHandle, 'Parameter1', Value1, 'Parameter2', Value2, ...) constructs an interest-rate curve object directly by specifying a function handle. You must enter the optional arguments for Basis and Compounding as parameter/value pairs.

After you use the IRFunctionCurve constructor to create an IRFunctionCurve object, you can fit the bond using the following methods.

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 `RateSpec` structure is identical to the `RateSpec` produced by the Financial Derivatives Toolbox function `intenvset`.

Alternatively, you can construct an IRFunctionCurve object using the following static methods.

Static Method	Description
`fitNelsonSiegel`	Fits a Nelson-Siegel function to market data.
`fitSvensson`	Fits a Svensson function to market data.
`fitSmoothingSpline`	Fits a smoothing spline function to market data.
`fitFunction`	Fits a custom function to market data.

Examples