Represent interest-rate curve object based on vector of dates and data
IRDataCurve is a representation of an interest-rate
curve object with dates and data. You can construct this object directly
by specifying dates and corresponding interest rates or discount factors;
alternatively, you can bootstrap the object from market data. 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
that is identical to the
RateSpec structure produced
by the Financial Instruments Toolbox™ function
Type of interest-rate curve:
Scalar for the
Scalar that sets the compounding frequency per year for
Day-count basis of the financial curve. A vector of integers.
Dates corresponding to rate data.
Interest-rate data or discount factors for the curve object.
The following table contains links to methods with supporting reference pages, including examples.
Returns forward rates for input dates.
Returns zero rates for input dates.
Returns discount factors for input dates.
Returns par yields for input dates.
Converts to be a
Bootstraps an interest rate curve from market data.