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## @IRFunctionCurve

Represent an interest-rate curve object using a function

### Hierarchy

Superclasses: @IRCurve

Subclasses: None

### Description

IRFunctionCurve is a representation of an interest-rate curve object. You can construct this object directly by specifying a function handle or a function can be fit to market data using methods of the object. 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; this is identical to the RateSpec structure produced by the Financial Instruments Toolbox™ function intenvset.

### Constructor

IRFunctionCurve

NameDescription
Type

Type of interest-rate curve: zero, forward, or discount.

Settle

Scalar or column vector of settlement dates.

CompoundingScalar that sets the compounding frequency per year for the IRCurve object:
• -1 =  Continuous compounding

• 1 = Annual compounding

• 2 = Semiannual compounding (default)

• 3 = Compounding three times per year

• 4 = Quarterly compounding

• 6 = Bimonthly compounding

• 12 = Monthly compounding

Basis

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 (BMA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/actual (ISDA)

• 13 = BUS/252

FunctionHandle

Function handle that defines the interest-rate curve. For more information on defining a function handle, see the MATLAB® Programming Fundamentals documentation.

### Methods

The following table contains links to methods with supporting reference pages, including examples.

MethodDescription
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 is identical to the RateSpec structure produced by the Financial Instruments Toolbox function intenvset.

fitSvensson

Fits a Svensson function to market data.

fitNelsonSiegel

Fits a Nelson-Siegel function to market data.

fitSmoothingSpline

Fits a smoothing spline function to market data.

fitFunction

Fits a custom function to market data.