Represent an interest-rate curve object using a function
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IRFunctionCurve is a representation of an interest-rate curve object. You can construct this object directly by specifying a function handle or a function can be fit to market data using methods of the object. After an interest-rate curve object is constructed; you can:
Calculate forward and zero rates and determine par yields.
Extract the discount factors.
Convert to a RateSpec structure; this is identical to the RateSpec structure produced by the Financial Instruments Toolbox™ function intenvset.
Type of interest-rate curve: zero, forward, or discount.
Scalar or column vector of settlement dates.
|Compounding||Scalar that sets the compounding frequency per year for the IRCurve object:|
Day-count basis of the interest-rate curve. A vector of integers.
Function handle that defines the interest-rate curve. For more information on defining a function handle, see the MATLAB® Programming Fundamentals documentation.
The following table contains links to methods with supporting reference pages, including examples.
Returns forward rates for input dates.
Returns zero rates for input dates.
Returns discount factors for input dates.
Returns par yields for input dates.
Converts to be a RateSpec object. This is identical to the RateSpec structure produced by the Financial Instruments Toolbox function intenvset.
Fits a Svensson function to market data.
Fits a Nelson-Siegel function to market data.
Fits a smoothing spline function to market data.
Fits a custom function to market data.