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| R2011b Documentation → Fixed-Income Toolbox | |
Learn more about Fixed-Income Toolbox |
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| Contents | Index |
This table summarizes what's new in Version 1.6 (R2008b):
New Features and Changes | Version Compatibility Considerations | Fixed Bugs and Known Problems |
|---|---|---|
| Yes Details below | No | Bug
Reports |
New features and changes introduced in this version are
Support for analyzing the term structure of interest rates, including bootstrapping and fitting the term structure to market data using parametric models (e.g., Nelson Siegel and Svensson), spline-based models, and user-defined functions. Fixed-Income Toolbox supports three class objects:
Base abstract class supports creating interest-rate curves and includes methods for extracting forward, zero, and discount factors curves.
Supports a method to convert to a RateSpec structure, an acceptable input format for the Financial Derivatives Toolbox™ function intenvset.
Represents interest-rate curves based on vectors of dates and data. This class supports bootstrapping an interest-rate curve from market instruments with a range of interpolation methods.
Represents an interest-rate curve with a function; the function can be specified directly, or a form of the function can be specified and then the parameters are fit to available market data. In addition, you can determine which type of interest-rate curve (zero, forward, or discount curve) fits the market data, as well as, any custom functions.
For more information, see Interest-Rate Curve Objects.
 | Version 1.7 (R2009a) Fixed-Income Toolbox Software | Version 1.5 (R2008a) Fixed-Income Toolbox Software |  |
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