@IRBootstrapOptions :: Class Reference (Fixed-Income Toolbox™)

Learn more about Fixed-Income Toolbox

@IRBootstrapOptions

Create specific options for bootstrapping an interest-rate curve object

On this page…
Hierarchy Constructor Public Read-Only Properties Methods

On this page…

Hierarchy

Constructor

Public Read-Only Properties

Methods

Hierarchy

Superclasses: None

Subclasses: None

Constructor

IRBootstrapOptions

Public Read-Only Properties

Name Description

Name	Description
`ConvexityAdjustment`	Controls the convexity adjustment to interest rate futures. This can be specified as a function handle that takes time to maturity as an input and returns a value which is `ConvexityAdjustment`. Alternatively, you can define `ConvexityAdjustment` as an `N`-by-`1` vector of values, where `N` is the number of interest rate futures. In either case, the `ConvexityAdjustment` is subtracted from the futures rate. For more information on defining a function handle, see the MATLAB Programming Fundamentals documentation.

ConvexityAdjustment

Controls the convexity adjustment to interest rate futures. This can be specified as a function handle that takes time to maturity as an input and returns a value which is ConvexityAdjustment. Alternatively, you can define ConvexityAdjustment as an N-by-1 vector of values, where N is the number of interest rate futures. In either case, the ConvexityAdjustment is subtracted from the futures rate.

For more information on defining a function handle, see the MATLAB Programming Fundamentals documentation.

Methods

There are no methods.

Class Reference

@IRCurve

Free Interactive Computational Finance CD

View demos and recorded presentations led by industry experts.

Get the interactive CD

Get trial software

Now On Demand
Network with industry peers and learn the latest applications of the leading software product for computational finance.