IRDataCurve
Construct interest-rate curve object from dates and data
Description
Build an IRDataCurve
object using
IRDataCurve
.
After creating an IRDataCurve
object, you can use the associated
object functions:
Object Function | Description |
---|---|
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 |
bootstrap | Bootstraps an interest rate curve from market data. |
For more detailed information on this workflow, see Interest-Rate Curve Objects and Workflow.
Creation
Syntax
Description
sets properties and creates an
IRDataCurve_obj
= IRDataCurve(Type
,Settle
,Dates
,Data
)IRDataCurve
object.
sets optional properties using name-value
pairs and any of the arguments in the previous syntax. For example,
IRDataCurve_obj
= IRDataCurve(___,Name,Value
)IRDataCurve_obj =
IRDataCurve('Zero',CurveSettle,Dates,Data,'Compounding',4,'Basis',4)
creates an IRDataCurve
object for a zero curve. You can
specify multiple name-value pair arguments.
Input Arguments
Properties
Object Functions
getForwardRates | Get forward rates for input dates for
IRDataCurve |
getZeroRates | Get zero rates for input dates for IRDataCurve |
getDiscountFactors | Get discount factors for input dates for
IRDataCurve |
getParYields | Get par yields for input dates for IRDataCurve |
toRateSpec | Convert IRDataCurve object to
RateSpec |
bootstrap | Bootstrap interest-rate curve from market data |