Represent interest-rate curve object based on vector of dates and data
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IRDataCurve is a representation of an interest-rate curve object with dates and data. You can construct this object directly by specifying dates and corresponding interest rates or discount factors; alternatively, you can bootstrap the object from market data. After an interest-rate curve object is constructed, you can:
Calculate forward and zero rates and determine par yields.
Extract the discount factors.
Convert to a RateSpec structure that is identical to the RateSpec structure produced by the Financial Instruments Toolbox™ function intenvset.
Type of interest-rate curve: zero, forward, or discount.
Scalar for the Settle date of the curve.
Scalar that sets the compounding frequency per year for the IRCurve object:
Day-count basis of the financial curve. A vector of integers.
Dates corresponding to rate data.
Interest-rate data or discount factors for the curve object.
The following table contains links to methods with supporting reference pages, including examples.
Returns forward rates for input dates.
Returns zero rates for input dates.
Returns discount factors for input dates.
Returns par yields for input dates.
Converts to be a RateSpec object. This structure is identical to the RateSpec produced by the Financial Instruments Toolbox function intenvset.
Bootstraps an interest rate curve from market data.