Term Structure Definition and Analysis

Define and analyze interest-rate term structure

Functions

date2timeTime and frequency from dates
datedispDisplay date entries
disc2rateInterest rates from cash flow discounting factors
intenvgetProperties of interest-rate structure
intenvsetSet properties of interest-rate structure
rate2discDiscount factors from interest rates
ratetimesChange time intervals defining interest-rate environment
time2dateDates from time and frequency

Examples and How To

Modeling the Interest-Rate Term Structure

Financial Instruments Toolbox™ includes a set of functions to encapsulate interest-rate term information into a single structure.

Interest-Rate Term Conversions

Interest-rate evolution is typically represented by a set of interest rates, including the beginning and end of the periods the rates apply to.

Concepts

Understanding the Interest-Rate Term Structure

The interest-rate term structure represents the evolution of interest rates through time.