discountfactors

Calculate discount factors for a ratecurve object

Syntax

outDF = discountfactors(obj,inpDates)

Description

outDF = discountfactors(obj,inpDates) calculates the discount factors for a ratecurve object.

Examples

Calculate Discount Factors for a ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates,'Compounding',2,'Basis',5,'InterpMethod',"pchip",'ShortExtrapMethod',"linear",'LongExtrapMethod',"pchip")

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 2
                Basis: 5
                Dates: [10×1 datetime]
                Rates: [10×1 double]
               Settle: 15-Sep-2019
         InterpMethod: "pchip"
    ShortExtrapMethod: "linear"
     LongExtrapMethod: "pchip"

Compute the discount factors using discountfactors.

CurveSettle = datetime(2019,9,15);
outRates = discountfactors(myRC,CurveSettle+30:30:CurveSettle+720)

outRates = 1×24

    0.9996    0.9992    0.9988    0.9983    0.9979    0.9974    0.9970    0.9965    0.9961    0.9956    0.9951    0.9946    0.9941    0.9936    0.9931    0.9926    0.9921    0.9915    0.9910    0.9904    0.9899    0.9893    0.9887    0.9881

Input Arguments

obj — ratecurve object

ratecurve object | parametercurve object

ratecurve object, specified using a previously created ratecurve object.

In addition, you can use a parametercurve object. Also, you can create a parametercurve object using fitNelsonSiegel, fitSvensson, or fitSmithWilson.

Data Types: object

inpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

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

Output Arguments

outDF — Discount factors

numeric

Discount factors, returned as a numeric.

More About

Discount Factor

A discount factor is a multiplier used to convert future cash flows into their present value.

Discount factors are derived from the interest-rate curve (often referred to as the rate curve) and are used to discount future cash flows back to their present value.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although discountfactors 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.