Interest-Rate Curve Objects and Workflow

Financial Instruments Toolbox™ class structure supports interest-rate curve objects. The class structure supports four classes.

Class Structure

Class Name	Description
`IRDataCurve`	Creates a representation of an interest-rate curve with dates and data.`IRDataCurve`is created directly by specifying dates and corresponding interest rates or discount factors, or you can bootstrap an`IRDataCurve`object from market data.
`IRFunctionCurve`	Creates a representation of an interest-rate curve with a function.`IRFunctionCurve`is created directly by specifying a function handle, or you can fit a function to market data using functions of the`IRFunctionCurve`object.
`IRBootstrapOptions`	The`IRBootstrapOptions`object lets you specify options relating to the bootstrapping of an`IRDataCurve`object.
`IRFitOptions`	The`IRFitOptions`object lets you specify options relating to the fitting process for an`IRFunctionCurve`object.

The supported workflow model for using interest-rate curve objects is:

Create an interest-rate curve based on anIRDataCurveobject or anIRFunctionCurveobject.
- To create anIRDataCurveobject:
  - Use vectors of dates and data with interpolation methods.
  - Use bootstrapping based on market instruments.
  For more information on creating anIRDataCurveobject, seeCreating an IRDataCurve Object.
- To create anIRFunctionCurveobject:
  - Specify a function handle.
  - Fit a function using the Nelson-Siegel model, Svensson model, or smoothing spline model.
  - Fit a custom function.
Use functions of theIRDataCurveorIRFunctionCurveobjects to extract forward, zero, discount factor, or par yield curves for the interest-rate curve object.
Convert an interest-rate curve from anIRDataCurveorIRFunctionCurveobject to aRateSpecstructure. ThisRateSpecstructure is identical to theRateSpecproduced by the functionintenvset. Using theRateSpecfor an interest-rate curve object, you can then use Financial Instruments Toolbox functions to model an interest-rate structure and price. Alternatively, you can convert theRateSpecto aratecurveobject (seeConvert RateSpec to a ratecurve Object) and then use the Financial Instruments Toolbox object-based framework for pricing instruments.

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