getForwardRates

Get forward rates for input dates for IRFunctionCurve

Syntax

F = getForwardRates(CurveObj,InpDates)

F = getForwardRates(___,Name,Value)

Description

F = getForwardRates(CurveObj,InpDates) computes discount factors for input dates for an IRFunctionCurve object. getForwardRates returns discrete forward rates for the intervals input into this function. For example, running the following code:

getForwardRates(irdc, {Date1, Date2, Date3}) 

gives three forwards rates and the three tenors are: [Settle, Date1], [Date1, Date2], and [Date2, Date3].

Note

The parametercurve object and the associated forwardrates 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.

F = getForwardRates(___,Name,Value) adds optional name-value pair arguments.

Examples

Get Forward Rates For Input Dates For an IRFunctionCurve

This example shows how to get forward rates for input dates for an IRFunctionCurve.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
getForwardRates(irfc, today+30:30:today+720)

ans = 24×1

    0.0202
    0.0205
    0.0207
    0.0210
    0.0212
    0.0215
    0.0217
    0.0219
    0.0222
    0.0224
      ⋮

Compute the Implied 2-Year Forward Rates in 1 Year, 2 Years, 5 Years, and 10 Years

This example shows how to compute the implied 2-year forward rates in 1 year, 2 years, 5 years, and 10 years from the Settle date by using the getForwardRates method.

Use the following data for an IRFunctionCurve object that is created when using the fitSvensson method.

Settle = datenum('15-Apr-2014');
Maturity = datemnth(Settle,12*[1 2 3 5 7 10 20 30]');

CleanPrice = [100.1 100.1 100.2 99.0 101.8 99.2 101.7 100.2]';
CouponRate = [0.0200 0.0275 0.035 0.042 0.0475 0.0525 0.055 0.052]';
Instruments = [repmat(Settle,size(Maturity)) Maturity CleanPrice CouponRate];

SvenssonModel = IRFunctionCurve.fitSvensson('Zero',Settle,Instruments);

Compute the implied 2-year forward rates in 1 year, 2 years, 5 years, and 10 years from the Settle date.

IntervalMonth = 12.*2;         % Interval months for 2-year forward rates
FwdMonths = 12.*[1 2 5 10]';   % Starting in 1, 2, 5, and 10 years from Settle
N = length(FwdMonths);
FwdRates_2Y = zeros(N,1);

for k = 1:N
    FwdDates = datemnth(SvenssonModel.Settle, [FwdMonths(k) FwdMonths(k)+IntervalMonth]);
    f = getForwardRates(SvenssonModel,FwdDates);
    FwdRates_2Y(k) = f(2);
end

[FwdMonths FwdRates_2Y]

ans = 4×2

   12.0000    0.0418
   24.0000    0.0504
   60.0000    0.0620
  120.0000    0.0629

Input Arguments

CurveObj — Interest-rate curve object

object

Interest-rate curve object, specified by using IRFunctionCurve.

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 IRFunctionCurve.

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

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: F = getForwardRates(irfc, CurveSettle+30:30:CurveSettle+720)

Compounding — Compounding frequency per-year for forward rates

CurveObj.Compounding (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

Compounding frequency per-year for forward rates, specified as the comma-separated pair consisting of 'Compounding' and a scalar numeric using one of the supported values:

• −1 = Continuous compounding

• 0 = Simple interest (no compounding)

• 1 = Annual compounding

• 2 = Semiannual compounding

• 3 = Compounding three times per year

• 4 = Quarterly compounding

• 6 = Bimonthly compounding

• 12 = Monthly compounding

Data Types: double

Basis — Day count basis for the forward rates

0 (actual/actual) (default) | integer from 0 to 13

Day count basis for the forward rates, specified as the comma-separated pair consisting of 'Basis' and a scalar integer.

• 0 — actual/actual

• 1 — 30/360 (SIA)

• 2 — actual/360

• 3 — actual/365

• 4 — 30/360 (PSA)

• 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/365 (ISDA)

• 13 — BUS/252

For more information, see Basis.

Data Types: double

Output Arguments

F — Forward rates

vector

Forward rates, returned as a vector. getForwardRates returns forward rates corresponding to the periodicity of the dates input to getForwardRates. For example, where the dates are monthly, monthly forward rates are returned. The first element of the output is the forward rate from the Settle to one month, the second element is the forward rate from one month to two months, and so on.

Version History

Introduced in R2008b

R2022b: Serial date numbers not recommended

Although getForwardRates 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.