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Base abstract class for interest-rate curves. IRCurve is an abstract class; you cannot create instances of it directly. You can create IRFunctionCurve and IRDataCurve objects that are derived from this class.
Creates a representation of an interest-rate curve with dates and data. IRDataCurve is constructed directly by specifying dates and corresponding interest rates or discount factors, or you can bootstrap an IRDataCurve object from market data.
Creates a representation of an interest-rate curve with a function. IRFunctionCurve is constructed directly by specifying a function handle, or you can fit a function to market data using methods of the IRFunctionCurve object.
The IRBootstrapOptions object lets you specify options relating to the bootstrapping of an IRDataCurve object.
The IRFitOptions object lets you specify options relating to the fitting process for an IRFunctionCurve object.
Create an interest-rate curve based on an IRDataCurve object or an IRFunctionCurve object.
To create an IRDataCurve object:
Use vectors of dates and data with interpolation methods.
Use bootstrapping based on market instruments.
To create an IRFunctionCurve object:
Specify a function handle.
Fit a function using the Nelson-Siegel model, Svensson model, or smoothing spline model.
Fit a custom function.
Use methods of the IRDataCurve or IRFunctionCurve objects to extract forward, zero, discount factor, or par yield curves for the interest-rate curve object.
Convert an interest-rate curve from an IRDataCurve or IRFunctionCurve object to a RateSpec structure. This RateSpec structure is identical to the RateSpec produced by the Financial Instruments Toolbox function intenvset. Using the RateSpec for an interest-rate curve object, you can then use Financial Instruments Toolbox functions to model an interest-rate structure and price.