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toRateSpec

Convert IRDataCurve object to RateSpec

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Syntax

F = toRateSpec(CurveObj,InpDates)

Description

example

F = toRateSpec(CurveObj,InpDates) computes RateSpec object for input dates for an IRDataCurve object. The RateSpec object that is identical to the RateSpec structure created by the function intenvset.

Examples

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Open Live Script

This example shows how to convert an IRDataCurve object to a RateSpec. First, an IRDataCurve object is created using the function IRDataCurve constructor with Dates and Data, then this object is converted to a RateSpec structure using the toRateSpec method.

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('Forward',CurveSettle,Dates,Data);
toRateSpec(irdc, CurveSettle+30:30:CurveSettle+365)
ans = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [12x1 double]
            Rates: [12x1 double]
         EndTimes: [12x1 double]
       StartTimes: [12x1 double]
         EndDates: [12x1 double]
       StartDates: 736391
    ValuationDate: 736391
            Basis: 0
     EndMonthRule: 1

Input Arguments

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Interest-rate curve object, specified by using IRDataCurve.

Data Types: object

Input dates, specified using MATLAB® date format. The input dates must be after the Settle date of IRDataCurve.

Data Types: double

Output Arguments

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Rate spec, returned as an object. The RateSpec object that is identical to the RateSpec structure created by the function intenvset.

Alternatively, you can convert the RateSpec object to a ratecurve object (see Convert RateSpec to a ratecurve Object) and then use the Financial Instruments Toolbox™ object-based framework for pricing instruments.

Version History

Introduced in R2008b

See Also

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