@IRBootstrapOptions

Create specific options for bootstrapping an interest-rate curve object

Hierarchy

Superclasses: None

Subclasses: None

Public Read-Only Properties

NameDescription
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.

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