Fixed-Income Toolbox

Yield Curve Fitting and Analysis

Fixed Income Toolbox provides extensible and customizable objects for fitting a yield curve to market data. You can also analyze market data by deriving curves including the forward rate curve, discount rate curve, and par yield curve using other methods of these objects.

The interest-rate curve objects let you fit yield curves to market data using the bootstrap method, parametric models including Nelson-Siegel and Svensson, spline-based models, and custom functions.

A plot of yield curves fitted to market data using three parametric models.

You can analyze yield curves using interest-rate curve objects to derive the discount rates, zero rates, forward rates, and par yields.

You can also convert the interest-rate curve object for use with Financial Derivatives Toolbox™ to model interest-rate structure and price derivative instruments.

Plots of yield curve analysis using forward and zero rates with interpolation methods (left) and par yield curve (right).