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getParYields

Get par yields for input dates for IRFunctionCurve

Syntax

F = getParYields(CurveObj, InpDates)
F = getParYields(CurveObj, InpDates, 'Parameter1',
Value1, 'Parameter2', Value2, ...)

Arguments

CurveObj

Interest-rate curve object that is constructed using IRFunctionCurve.

InpDates

Vector of input dates using MATLAB® date format. The input dates must be after the settle date.

Compounding

(Optional) Scalar that sets the compounding frequency per year for par yield rates are:

  • -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

(Optional) Day-count basis values for par yield rates:

  • 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

For more information, see basis.

Description

F = getParYields(CurveObj, InpDates, 'Parameter1', Value1, 'Parameter2', Value2, ...) returns par yields for the input dates. You must enter the optional arguments for Basis and Compounding as parameter/value pairs.

Examples

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Get Par Yields For Input Dates For an IRFunctionCurve

This example shows how to get par yields for input dates for an IRFunctionCurve.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
irfc.getParYields(today+30:30:today+720)
ans =

    0.0204
    0.0201
    0.0204
    0.0204
    0.0206
    0.0206
    0.0207
    0.0211
    0.0211
    0.0213
    0.0213
    0.0214
    0.0216
    0.0217
    0.0218
    0.0219
    0.0220
    0.0221
    0.0222
    0.0224
    0.0225
    0.0226
    0.0227
    0.0228

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