@IRCurve

Base abstract class for interest-rate curve objects

Hierarchy

Superclasses: None

Subclasses: @IRDataCurve, @IRFunctionCurve

Description

IRCurve is an abstract class; you cannot create instances of it directly. You can create IRDataCurve and IRFunctionCurve objects that are derived from this class.

Constructor

@IRCurve is an abstract class. To construct an IRCurve object, use one of the subclass constructors, IRDataCurve or IRFunctionCurve.

Public Read-Only Properties

NameDescription
Type

Type of interest-rate curve: zero, forward, or discount.

Settle

Scalar for the Settle date of the curve.

Compounding

Scalar that sets the compounding frequency per year for the IRCurve object:

  • -1 =  Continuous compounding

  • 1 = Annual compounding

  • 2 = Semiannual compounding (default)

  • 3 = Compounding three times per year

  • 4 = Quarterly compounding

  • 6 = Bimonthly compounding

  • 12 = Monthly compounding

Basis

Day-count basis of the interest-rate curve. A vector 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/actual (ISDA)

  • 13 = BUS/252

For more information, see Basis.

Methods

Classes that inherit from the IRCurve abstract class must implement the following methods.

MethodDescription
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 is identical to the RateSpec structure produced by the Financial Instruments Toolbox™ function intenvset.

See Also

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