Fixed-Income Toolbox™

toRateSpec - Convert `IRDataCurve` object to `RateSpec`

Class

@IRDataCurve

Syntax

F = toratespec(CurveObj, InpDates)

Arguments

`CurveObj`	Interest-rate curve object that is constructed using `IRDataCurve`.
`InpDates`	Vector of input dates using MATLAB date format. The input dates must be after the settle date.

Description

F = toratespec(CurveObj, InpDates) returns a RateSpec object that is identical to the RateSpec structure created by the Financial Derivatives Toolbox function intenvset.

Examples

This example creates an IRDataCurve object from the IRDataCurve constructor using Dates and Data and then is converted to a RateSpec structure using the toRateSpec method:

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('Forward',today,Dates,Data)
irdc.toRateSpec(today+30:30:today+365)

irdc = 

  IRDataCurve handle

  Properties:
           Dates: [8x1 double]
            Data: [8x1 double]
    InterpMethod: 'linear'
            Type: 'Forward'
          Settle: 733596
     Compounding: 2
           Basis: 0

  Methods, Events, Superclasses

ans = 

           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [12x1 double]
            Rates: [12x1 double]
         EndTimes: [12x1 double]
       StartTimes: [12x1 double]
         EndDates: [12x1 double]
       StartDates: 733596
    ValuationDate: 733596
            Basis: 0
     EndMonthRule: 1