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getDiscountFactors - Get discount factors for input dates for IRFunctionCurve

Class

@IRFunctionCurve

Syntax

F = getDiscountFactors(CurveObj, InpDates)

Arguments

CurveObj

Interest-rate curve object that is constructed using the IRFunctionCurve.

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

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
irfc.getDiscountFactors(today+30:30:today+720)
ans =

    0.9984
    0.9967
    0.9950
    0.9933
    0.9916
    0.9899
    0.9881
    0.9864
    0.9846
    0.9828
    0.9810
    0.9792
    0.9773
    0.9755
    0.9736
    0.9717
    0.9698
    0.9679
    0.9660
    0.9641
    0.9621
    0.9602
    0.9582
    0.9562

How To

  

 

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