Creating Interest-Rate Curve Objects

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

To create anIRDataCurveobject, you can:

For more information on creating anIRDataCurveobject, seeCreating an IRDataCurve Object.

Using anIRDataCurveobject, you can use the following functions to determine:

Alternatively, to create anIRFunctionCurveobject, you can:

UseIRFunctionCurveto create anIRFunctionCurveobject and directly specify a function handle.
UseIRFunctionCurveobject functions:
- fitNelsonSiegelfits aFitting IRFunctionCurve Object Using Nelson-Siegel Methodto market data for bonds.
- fitSvenssonfits aFitting IRFunctionCurve Object Using Svensson Methodto market data for bonds.
- fitSmoothingSplinefits aFitting IRFunctionCurve Object Using Smoothing Spline Methodfunction to market data for bonds.
- fitFunctioncustom fits an interest-rate curve object to market data for bonds.

Using anIRFunctionCurveobject, you can use the following functions to determine:

In addition, you can convert anIRDataCurveobject orIRFunctionCurveobject to aRateSpecstructure. For more information, seeConverting an IRDataCurve or IRFunctionCurve Object.

Related Examples