Represent an interest-rate curve object using a function
Superclasses: @IRCurve
Subclasses: None
IRFunctionCurve is a representation of an
interest-rate curve object. You can construct this object directly
by specifying a function handle or a function can be fit to market
data using methods of the object. After an interest-rate curve object
is constructed; you can:
Calculate forward and zero rates and determine par yields.
Extract the discount factors.
Convert to a RateSpec structure; this
is identical to the RateSpec structure produced
by the function intenvset.
| Name | Description |
|---|---|
Type | Type of interest-rate curve: |
Settle | Scalar for the |
Compounding |
Scalar that sets the compounding frequency per year for the
|
Basis | Day-count basis of the interest-rate curve. A vector of integers.
For more information, see Basis. |
FunctionHandle | Function handle that defines the interest-rate curve. For more information on defining a function handle, see the MATLAB® Programming Fundamentals documentation. |
Parameters | Fitted parameters for function. |
The following table contains links to methods with supporting reference pages, including examples.
| Method | Description |
|---|---|
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 |
fitSvensson | Fits a Svensson function to market data. |
fitNelsonSiegel | Fits a Nelson-Siegel function to market data. |
fitSmoothingSpline | Fits a smoothing spline function to market data. |
fitFunction | Fits a custom function to market data. |
fitFunction | fitNelsonSiegel | fitSmoothingSpline | fitSvensson | getDiscountFactors | getForwardRates | getParYields | getZeroRates | IRDataCurve | IRFitOptions | toRateSpec