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getDiscountFactors

Get discount factors for input dates for IRFunctionCurve

Description

example

F = getDiscountFactors(CurveObj,InpDates) computes discount factors for input dates for an IRFunctionCurve object.

Examples

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This example shows how to get discount factors for input dates for an IRFunctionCurve.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
getDiscountFactors(irfc, today+30:30:today+720)
ans = 24×1

    0.9984
    0.9967
    0.9950
    0.9933
    0.9916
    0.9899
    0.9881
    0.9864
    0.9846
    0.9828
      ⋮

Input Arguments

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Interest-rate curve object, specified by using IRFunctionCurve.

Data Types: object

Input dates, specified using MATLAB® date format. The input dates must be after the Settle date of IRFunctionCurve.

Data Types: double

Output Arguments

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Discount factors, returned as a vector.

Introduced in R2008b