Creating Interest-Rate Curve Objects

Depending on your data and purpose for analysis, you can create an interest-rate curve object by using an IRDataCurve or IRFunctionCurve object.

To create an IRDataCurve object, you can:

• Use IRDataCurve to create an IRDataCurve object using vector of dates and data with interpolation methods.

• Use the object function bootstrap using market instruments.

For more information on creating an IRDataCurve object, see Creating an IRDataCurve Object.

Using an IRDataCurve object, you can use the following functions to determine:

• Forward rate curve — getForwardRates

• Zero rate curve — getZeroRates

• Discount rate curve — getDiscountFactors

• Par yield curve — getParYields

Alternatively, to create an IRFunctionCurve object, you can:

• Use IRFunctionCurve to create an IRFunctionCurve object and directly specify a function handle.

• Use IRFunctionCurve object functions:

  • fitNelsonSiegel fits a Fitting IRFunctionCurve Object Using Nelson-Siegel Method to market data for bonds.

  • fitSvensson fits a Fitting IRFunctionCurve Object Using Svensson Method to market data for bonds.

  • fitSmoothingSpline fits a Fitting IRFunctionCurve Object Using Smoothing Spline Method function to market data for bonds.

  • fitFunction custom fits an interest-rate curve object to market data for bonds.

Using an IRFunctionCurve object, you can use the following functions to determine:

• Forward rate curve — getForwardRates

• Zero rate curve — getZeroRates

• Discount rate curve — getDiscountFactors

• Par yield curve — getParYields

In addition, you can convert an IRDataCurve object or IRFunctionCurve object to a RateSpec structure. For more information, see Converting an IRDataCurve or IRFunctionCurve Object.