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@IRDataCurve

Represent interest-rate curve object based on vector of dates and data

Hierarchy

Superclasses: @IRCurve

Subclasses: None

Description

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 RateSpec structure that is identical to the RateSpec structure produced by the Financial Instruments Toolbox™ function intenvset.

Constructor

IRDataCurve

Public Read-Only Properties

NameDescription
Type

Type of interest-rate curve: zero, forward, or discount.

Settle

Scalar for the Settle date of the curve.

Compounding

Scalar that sets the compounding frequency per year for the IRCurve object:

  • -1 =  Continuous compounding

  • 1 = Annual compounding

  • 2 = Semiannual compounding (default)

  • 3 = Compounding three times per year

  • 4 = Quarterly compounding

  • 6 = Bimonthly compounding

  • 12 = Monthly compounding

Basis

Day-count basis of the financial curve. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 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/actual (ISDA)

  • 13 = BUS/252

Dates

Dates corresponding to rate data.

Data

Interest-rate data or discount factors for the curve object.

InterpMethod

Values are:

  • 'linear' — Linear interpolation (default).

  • 'constant' — Piecewise constant interpolation.

  • 'pchip' — Piecewise cubic Hermite interpolation.

  • 'spline' — Cubic spline interpolation.

Methods

The following table contains links to methods with supporting reference pages, including examples.

MethodDescription
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 RateSpec object. This structure is identical to the RateSpec produced by the Financial Instruments Toolbox function intenvset.

bootstrap

Bootstraps an interest rate curve from market data.

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