Bootstrap from Market Data
IRDataCurve
object from market data and analyze zero curveFor information about using theIRDataCurve
object, see theInterest-Rate Curve Objects and Workflow.
Objects
IRDataCurve |
Construct interest-rate curve object from dates and data |
IRBootstrapOptions |
Construct specific options for bootstrapping interest-rate curve object |
Functions
bootstrap |
Bootstrap interest-rate curve from market data |
getDiscountFactors |
Get discount factors for input dates forIRDataCurve |
getForwardRates |
Get forward rates for input dates forIRDataCurve |
getParYields |
Get par yields for input dates forIRDataCurve |
getZeroRates |
Get zero rates for input dates forIRDataCurve |
toRateSpec |
ConvertIRDataCurve object toRateSpec |
Examples and How To
- Creating Interest-Rate Curve Objects
Alternatives for creating an interest-rate curve object.
- Creating an IRDataCurve Object
Use the
IRDataCurve
constructor with vectors of dates and data to create an interest-rate curve object. - Bootstrapping a Swap Curve
This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the
IRDataCurve
object. - Dual Curve Bootstrapping
This example shows how to bootstrap a forward curve using a different curve for discounting.
- Converting an IRDataCurve or IRFunctionCurve Object
The
IRDataCurve
andIRFunctionCurve
objects for interest-rate curves support conversion. - Analyze Inflation-Indexed Instruments
This example shows how to analyze inflation-indexed instruments using Financial Toolbox™ and Financial Instruments Toolbox™.
- Fitting the Diebold Li Model
This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.
Concepts
- Interest-Rate Curve Objects and Workflow
Financial Instruments Toolbox™ class structure supports interest-rate curve objects.
- Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework
o映射曲线函数bject-based framework.