Skip to Main Content Skip to Search
Product Documentation

IRFitOptions - Construct specific options for fitting interest-rate curve object

Class

@IRFitOptions

Syntax

myfitoptions = IRFitOptions(InitialGuess)
myfitoptions = IRFitOptions(InitialGuess, 'Parameter1', Value1)

Arguments

InitialGuess

Initial guess for the parameters of the curve function. Vector of values for the starting point of the optimization.

FitType

(Optional) Price, Yield, or DurationWeightedPrice determines which is minimized in the curve fitting process. The default is DurationWeightedPrice.

UpperBound

(Optional) Lower bound for the parameters of the curve function.

LowerBound

(Optional) Upper bound for the parameters of the curve function.

OptOptions

(Optional) Optimization structure based on the output from the Optimization Toolbox function optimset. This optimization structure is evaluated by lsqnonlin.

Description

myfitoptions = IRFitOptions('Param1', Value1) constructs the IRFitOptions structure with an initial guess or with an initial guess and bounds. You must enter the optional arguments for FitType, UpperBound, LowerBound, and OptOptions as parameter/value pairs.

Examples

myfitoptions = IRFitOptions([7 2 1 0],'FitType','yield')

myfitoptions = 

  Properties:
         FitType: 'yield'
    InitialGuess: [7 2 1 0]
      UpperBound: []
      LowerBound: []
      OptOptions: []

How To

  

 

Free Interactive Computational Finance CD

View demos and recorded presentations led by industry experts.

Get the interactive CD

Get trial software

Now On Demand
Network with industry peers and learn the latest applications of the leading software product for computational finance.

 © 1984-2012- The MathWorks, Inc.    -   Site Help   -   Patents   -   Trademarks   -   Privacy Policy   -   Preventing Piracy   -   RSS