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getDiscountFactors - Get discount factors for input dates for IRDataCurve

Class

@IRDataCurve

Syntax

F = getDiscountFactors(CurveObj, InpDates)

Arguments

CurveObj

Interest-rate curve object that is constructed using IRDataCurve.

InpDates

Vector of input dates using MATLAB date format. The input dates must be after the settle date.

Description

F = getDiscountFactors(CurveObj, InpDates) returns discount factors for the input dates.

Examples

Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],1);
irdc = IRDataCurve('Zero',today,Dates,Data);
irdc.getDiscountFactors(today+30:30:today+720)
ans =

    0.9986
    0.9971
    0.9956
    0.9940
    0.9924
    0.9907
    0.9890
    0.9873
    0.9855
    0.9836
    0.9817
    0.9798
    0.9778
    0.9757
    0.9736
    0.9715
    0.9693
    0.9671
    0.9649
    0.9626
    0.9602
    0.9578
    0.9554
    0.9529

How To

  

 

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