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getZeroRates

Get zero rates for input dates for IRDataCurve

Syntax

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

Arguments

CurveObj

Interest-rate curve object that is constructed using IRDataCurve.

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

Examples

expand all

Get Zero Rates For Input Dates For an IRDataCurve

This example shows how to get zero rates for input dates for an IRDataCurve.

Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],1);
irdc = IRDataCurve('Zero',today,Dates,Data);
irdc.getZeroRates(today+30:30:today+720)
ans =

    0.0174
    0.0177
    0.0180
    0.0183
    0.0187
    0.0190
    0.0193
    0.0196
    0.0199
    0.0202
    0.0205
    0.0208
    0.0212
    0.0215
    0.0218
    0.0221
    0.0224
    0.0227
    0.0230
    0.0233
    0.0237
    0.0240
    0.0243
    0.0246

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