IRDataCurve

Construct interest-rate curve object from dates and data

Class

@IRDataCurve

Syntax

CurveObj = IRDataCurve(Type,Settle,Dates,Data)
CurveObj = IRDataCurve(Type,Settle,Dates,Data,Name,Value)

Arguments

Type	Type of interest-rate curve. Acceptable values are forward, zero, or discount.
Settle	Scalar for the Settle date of the curve.
Dates	Dates corresponding to rate data.
Data	Interest-rate data for the curve object.
Compounding	(Optional) Scalar that sets the compounding frequency per year for the IRDataCurve object: −1 = Continuous compounding 0 = Simple interest (no compounding) for “zero” and “discount” curve types only, not supported for “forward” curves 1 = Annual compounding 2 = Semiannual compounding (default) 3 = Compounding three times per year 4 = Quarterly compounding 6 = Bimonthly compounding 12 = Monthly compounding Note Simple interest can be specified for an instrument by specifying the Compounding value as 0 and is supported for “zero” and “discount” curve types only (not supported for “forward” curves).
Basis	(Optional) Day-count basis of the interest-rate curve. A scalar 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/365 (ISDA) 13 = BUS/252 For more information, see basis.
InterpMethod	(Optional) Values are: 'linear' — Linear interpolation (default). 'constant' — Piecewise constant interpolation. 'pchip' — Piecewise cubic Hermite interpolation. 'spline' — Cubic spline interpolation.

Description

CurveObj = IRDataCurve(Type,Settle,Dates,Data,Name,Value) constructs an interest-rate curve with the specified Dates and Data. You must enter the optional arguments for Basis, Compounding, and InterpMethod as comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Alternatively, an IRDataCurve object can be bootstrapped from market data using the bootstrap method.

After an IRDataCurve curve object is constructed, you can use the following methods to determine the forward rates, zero rates, and discount factors. In addition, you can use the toRateSpec method to convert the interest-rate curve object to a RateSpec structure.

Method	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 RateSpec object; this structure is identical to the RateSpec produced by the Financial Instruments Toolbox™ function intenvset.
bootstrap	Bootstraps an interest rate curve from market data.

Examples

CurveSettle = datenum('2-Mar-2016');
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)

irdc = 

			 Type: Zero
		   Settle: 736391 (02-Mar-2016)
	  Compounding: 2
			Basis: 0 (actual/actual)
	 InterpMethod: linear
			Dates: [8x1 double]
			 Data: [8x1 double]