IRBootstrapOptions - Construct specific options for bootstrapping interest-rate curve object

Class

@IRBootstrapOptions

Syntax

mybootoptions = IRBootstrapOptions('Param1', Value1)

Arguments

ConvexityAdjustment

(Optional) Controls the convexity adjustment to interest-rate futures. This can be specified as a function handle that takes one numeric input (time-to-maturity) and returns one numeric output, ConvexityAdjustment. For more information on defining a function handle, see the MATLAB Programming Fundamentals documentation.

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.

Description

mybootoptions = IRBootstrapOptions('Param1', Value1) constructs an IRBootstrapOptionsObj structure. The IRBootstrapOptionsObj is used with the bootstrap method.

Examples

mybootoptions = IRBootstrapOptions('ConvexityAdjustment',repmat(.005,10,1))