getDiscountFactors

Get discount factors for input dates for IRDataCurve

Syntax

F = getDiscountFactors(CurveObj,InpDates)

Description

F = getDiscountFactors(CurveObj,InpDates) computes discount factors for input dates for an IRDataCurve object.

Note

The ratecurve object and the associated discountfactors were introduced in R2020a as part of a new object-based framework in the Financial Instruments Toolbox™ which supports end-to-end workflows in instrument modeling and analysis. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Examples

Get Discount Factors For Input Dates for an IRDataCurve

This example shows how to get discount factors for input dates for an IRDataCurve.

CurveSettle = datetime(2016,3,2);
Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]);
irdc = IRDataCurve('Zero',CurveSettle,Dates,Data);
getDiscountFactors(irdc, CurveSettle+30:30:CurveSettle+720)

ans = 24×1

    0.9986
    0.9971
    0.9956
    0.9940
    0.9924
    0.9907
    0.9890
    0.9873
    0.9855
    0.9836
    0.9817
    0.9798
    0.9778
    0.9757
    0.9736
      ⋮

Input Arguments

CurveObj — Interest-rate curve object

object

Interest-rate curve object, specified by using IRDataCurve.

Data Types: object

InpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as an NINST-by-1 vector using a datetime array, string array, or date character vectors. The input dates must be after the Settle date of IRDataCurve.

To support existing code, getDiscountFactors also accepts serial date numbers as inputs, but they are not recommended.

Output Arguments

F — Discount factors

vector

Discount factors, returned as a vector.

More About

Discount Factors

Discount factors are used to calculate the present value of future cash flows.

Discount factors represent the value today of a unit of currency that will be received or paid in the future, taking into account the time value of money.

Version History

Introduced in R2008b

R2022b: Serial date numbers not recommended

Although getDiscountFactors supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.