Build and Analyze Curve Models

Create and analyze interest-rate and default probability curves

Analyze interest-rate curves or bootstrap interest-rate curves from market data using a ratecurve object. Estimate parameters for yield curve models using a parametercurve object. Price credit instruments using a default probability curve with a defprobcurve object.

Functions

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Analyze Interest-Rate Curves

`ratecurve`	Create `ratecurve` object for interest-rate curve from dates and data
`zerorates`	Calculate zero rates for `ratecurve` object
`forwardrates`	Calculate forward rates for `ratecurve` object
`discountfactors`	Calculate discount factors for a `ratecurve` object
`irbootstrap`	Bootstrap interest-rate curve from market data

Analyze Parametric Curves

`parametercurve`	Create `parametercurve` object for storing interest-rate curve function
`zerorates`	Calculate zero rates for `parametercurve` object
`discountfactors`	Calculate discount factors for `parametercurve` object
`forwardrates`	Calculate forward rates for `parametercurve` object
`fitNelsonSiegel`	Fit Nelson-Siegel model to bond market data
`fitSvensson`	Fit Svensson model to bond market data

Analyze Default Probability Curves

`defprobcurve`	Create `defprobcurve` object for credit instrument
`survprobs`	Compute survival probability based on default probability curve
`hazardrates`	Compute hazard rates based on default probability curve
`defprobstrip`	Bootstrap `defprobcurve` object from market CDS instruments