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toRateSpec

Convert IRFunctionCurve object to RateSpec

Description

example

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

Examples

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This example shows how to convert an IRFunctionCurve object to a RateSpec. First, an IRFunctionCurve object is created using the function IRFunctionCurve constructor, then a RateSpec structure is created using the toRateSpec method.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
toRateSpec(irfc, today+30:30:today+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: 738400
    ValuationDate: 738400
            Basis: 0
     EndMonthRule: 1

Input Arguments

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Interest-rate curve object, specified by using IRFunctionCurve.

Data Types: object

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

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.

Introduced in R2008b