Fixed-Income Toolbox™

toRateSpec - Convert `IRFunctionCurve` object to `RateSpec`

Class

@IRFunctionCurve

Syntax

F = toratespec(CurveObj, InpDates)

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.

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 IRFunctionCurve object using the IRFunctionCurve constructor and then a RateSpec structure is created using the toRateSpec method:

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
irfc.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: 733596
    ValuationDate: 733596
            Basis: 0
     EndMonthRule: 1