parametercurve

Create parametercurve object for storing interest-rate curve function

Since R2020a

Description

Build a parametercurve object using parametercurve.

After creating a parametercurve object, you can use the associated object functions discountfactors, zerorates, and forwardrates.

For more detailed information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available instruments, models, and pricing methods, see Choose Instruments, Models, and Pricers.

Creation

Syntax

parametercurve_obj = parametercurve(Type,Settle,FunctionHandle)

parametercurve_obj = parametercurve(___,Name,Value)

Description

parametercurve_obj = parametercurve(Type,Settle,FunctionHandle) creates a parametercurve object.

parametercurve_obj = parametercurve(___,Name,Value) sets properties using name-value pairs and any of the arguments in the previous syntax. For example, parametercurve_obj = parametercurve('zero',datetime(2017,1,30),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02]) creates a parametercurve object for a zero curve. You can specify multiple name-value pair arguments.

Input Arguments

Type — Type of interest-rate curve

string with value "zero", "forward", or "discount" | character vector with value 'zero', 'forward', or 'discount'

Type of interest-rate curve, specified as a scalar string or character vector for one of the supported types.

Data Types: char | string

Settle — Settlement date for the curve

datetime scalar | string scalar | date character vector

Settlement date for the curve, specified as a scalar datetime, string, or date character vector.

To support existing code, parametercurve also accepts serial date numbers as inputs, but they are not recommended.

FunctionHandle — Dates corresponding to rate data

function handle

Dates corresponding to the rate data, specified as a function handle. The function handle requires one numeric input (time-to-maturity) and returns one numeric output (interest rate or discount factor). For more information on creating a function handle, see Create Function Handle.

Data Types: function_handle

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: parametercurve_obj = parametercurve('zero',datetime(2017,1,30),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])

Compounding — Compounding frequency for curve

-1 (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

Compounding frequency for the curve, specified as the comma-separated pair consisting of 'Compounding' and a scalar numeric using the supported values: –1, 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

Basis — Day count basis

0 (actual/actual) (default) | integer from 0 to 13

Day count basis, specified as the comma-separated pair consisting of 'Basis' and a scalar integer.

• 0 — actual/actual

• 1 — 30/360 (SIA)

• 2 — actual/360

• 3 — actual/365

• 4 — 30/360 (PSA)

• 5 — 30/360 (ISDA)

• 6 — 30/360 (European)

• 7 — actual/365 (Japanese)

• 8 — actual/actual (ICMA)

• 9 — actual/360 (ICMA)

• 10 — actual/365 (ICMA)

• 11 — 30/360E (ICMA)

• 12 — actual/365 (ISDA)

• 13 — BUS/252

For more information, see Basis.

Data Types: double

Parameters — Curve parameters

[ ] (default) | numeric

Curve parameters, specified as the comma-separated pair consisting of 'Parameters' and a numeric value.

Data Types: double

Properties

Type — Type of interest-rate curve

string with value "zero", "forward", or "discount"

Instrument type, returned as a string.

Data Types: string

Settle — Settlement date

datetime

Settlement date, returned as a datetime.

Data Types: datetime

FunctionHandle — Dates corresponding to rate data

function handle

Function handle that defines the interest-rate curve, returned as a scalar function handle.

Data Types: function_handle

Compounding — Compounding frequency for curve

-1 (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

Compounding frequency for curve, returned as a scalar numeric.

Data Types: double

Basis — Day count basis

0 (actual/actual) (default) | integer from 0 to 13

Day count basis, returned as a scalar integer.

Data Types: double

Parameters — Curve parameters

[ ] (default) | numeric

Curve parameters, returned as a numeric value.

Data Types: double

Object Functions

discountfactors	Calculate discount factors for parametercurve object
zerorates	Calculate zero rates for parametercurve object
forwardrates	Calculate forward rates for parametercurve object

Examples

Create parametercurve Object

Create a parametercurve object using parametercurve.

PCobj = parametercurve('zero',datetime(2019,9,15),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])

PCobj = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2019
       Compounding: 4
             Basis: 5
    FunctionHandle: @(t)polyval([-0.0001,0.003,0.02],t)
        Parameters: [-1.0000e-04 0.0030 0.0200]

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although parametercurve supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.