Creating Interest-Rate Curve Objects

Depending on your data and purpose for analysis, you can create an interest-rate curve object by using an IRDataCurve or IRFunctionCurve object.

To create an IRDataCurve object, you can:

• Use the IRDataCurve constructor.

• Use the IRDataCurve method bootstrap.

Using an IRDataCurve object, you can use the following methods to determine:

• Forward rate curve — getForwardRates

• Zero rate curve — getZeroRates

• Discount rate curve — getDiscountFactors

• Par yield curve — getParYields

Alternatively, to create an IRFunctionCurve object, you can:

• Use the IRFunctionCurve constructor and directly specify a function handle.

• Use IRFunctionCurve methods:

  • fitNelsonSiegel fits a Nelson-Siegel model to market data for bonds.

  • fitSvensson fits a Svensson model to market data for bonds.

  • fitSmoothingSpline fits a smoothing spline function to market data for bonds.

  • fitFunction custom fits an interest-rate curve object to market data for bonds.

Using an IRFunctionCurve object, you can use the following method to determine:

• Forward rate curve — getForwardRates

• Zero rate curve — getZeroRates

• Discount rate curve — getDiscountFactors

• Par yield curve — getParYields

In addition, you can convert an IRDataCurve or IRFunctionCurve to a RateSpec structure. For more information, see Converting an IRDataCurve or IRFunctionCurve Object.

Introduction to Interest-Rate Curve Objects

Creating an IRDataCurve Object

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