Depending on your data and purpose for analysis, you can create an interest-rate curve object
by using an IRDataCurve or IRFunctionCurve object.
To create an IRDataCurve object, you can:
Use the IRDataCurve constructor
using vector of dates and data with interpolation methods.
Use the IRDataCurve method bootstrap using
market instruments.
For more information on creating an IRDataCurve object,
see Creating an IRDataCurve Object.
Using an IRDataCurve object, you can use
the following methods to determine:
Forward rate curve — getForwardRates
Zero rate curve — getZeroRates
Discount rate curve — getDiscountFactors
Par yield curve — getParYields
Alternatively, to create an IRFunctionCurve object,
you can:
Use the IRFunctionCurve constructor
and directly specify a function handle.
Use IRFunctionCurve methods:
fitNelsonSiegel fits a Fitting IRFunctionCurve Object Using Nelson-Siegel Method to market data for
bonds.
fitSvensson fits a Fitting IRFunctionCurve Object Using Svensson Method to market data for bonds.
fitSmoothingSpline fits a Fitting IRFunctionCurve Object Using Smoothing Spline Method function to market data
for bonds.
fitFunction custom fits an interest-rate
curve object to market data for bonds.
Using an IRFunctionCurve object, you can
use the following method to determine:
Forward rate curve — getForwardRates
Zero rate curve — getZeroRates
Discount rate curve — getDiscountFactors
Par yield curve — getParYields
In addition, you can convert an IRDataCurve or IRFunctionCurve to
a RateSpec structure. For more information, see Converting an IRDataCurve or IRFunctionCurve Object.
IRBootstrapOptions | IRDataCurve | IRFitOptions | IRFunctionCurve