Introduction to Interest-Rate Curve Objects

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Class Structure Supported Workflow Model Using Interest-Rate Curve Objects

Class Structure

Fixed-Income Toolbox class structure supports interest-rate curve objects. The class structure supports five classes.

Class Name	Description
@IRCurve	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.
@IRDataCurve	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.
@IRFunctionCurve	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.
@IRBootstrapOptions	The IRBootstrapOptions object lets you specify options relating to the bootstrapping of an IRDataCurve object.
@IRFitOptions	The IRFitOptions object lets you specify options relating to the fitting process for an IRFunctionCurve object.

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Supported Workflow Model Using Interest-Rate Curve Objects

The supported workflow model for using interest-rate curve objects is:

1. 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.

2. Use methods of the IRDataCurve or IRFunctionCurve objects to extract forward, zero, discount factor, or par yield curves for the interest-rate curve object.

3. 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 Derivatives Toolbox™ function intenvset. Using the RateSpec for an interest-rate curve object, you can then use Financial Derivatives Toolbox functions to model an interest-rate structure and price. For more information, see Interest-Rate Derivatives.

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Interest-Rate Curve Objects

Creating Interest-Rate Curve Objects

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