toRateSpec

Convert IRDataCurve object to RateSpec

Class

@IRDataCurve

Syntax

F = toratespec(CurveObj,InpDates)

Arguments

CurveObj	Interest-rate curve object that is constructed using IRDataCurve.
InpDates	Vector of input dates using MATLAB® date format. The input dates must be after the settle date.

Description

F = toratespec(CurveObj,InpDates) returns a RateSpec object that is identical to the RateSpec structure created by the function intenvset.

Examples

Convert an IRDataCurve Object to a RateSpec

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