@IRBootstrapOptions

Create specific options for bootstrapping an interest-rate curve object

Hierarchy
Constructor
Public Read-Only Properties
Methods

Hierarchy

Superclasses: None

Subclasses: None

Constructor

IRBootstrapOptions

Public Read-Only Properties

Name Description

Name	Description
`ConvexityAdjustment`	Controls the convexity adjustment to interest rate futures. This can be specified as a function handle that takes time to maturity as an input and returns a value which is `ConvexityAdjustment`. Alternatively, you can define `ConvexityAdjustment` as an `N`-by-`1` vector of values, where `N` is the number of interest rate futures. In either case, the `ConvexityAdjustment` is subtracted from the futures rate. For more information on defining a function handle, see the MATLAB^® Programming Fundamentals documentation.

ConvexityAdjustment

Controls the convexity adjustment to interest rate futures. This can be specified as a function handle that takes time to maturity as an input and returns a value which is ConvexityAdjustment. Alternatively, you can define ConvexityAdjustment as an N-by-1 vector of values, where N is the number of interest rate futures. In either case, the ConvexityAdjustment is subtracted from the futures rate.

For more information on defining a function handle, see the MATLAB^® Programming Fundamentals documentation.