Creating Interest-Rate Curve Objects

Depending on your data and purpose for analysis, you can create an interest-rate curve object by using an IRDataCurve or IRFunctionCurve object.

To create an IRDataCurve object, you can:

  • Use the IRDataCurve constructor using vector of dates and data with interpolation methods.

  • Use the IRDataCurve method bootstrap using market instruments.

For more information on creating an IRDataCurve object, see Creating an IRDataCurve Object.

Using an IRDataCurve object, you can use the following methods to determine:

Alternatively, to create an IRFunctionCurve object, you can:

Using an IRFunctionCurve object, you can use the following method to determine:

In addition, you can convert an IRDataCurve or IRFunctionCurve to a RateSpec structure. For more information, see Converting an IRDataCurve or IRFunctionCurve Object.

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