主要内容

创建和分析工作流ratecurve而且parametercurve

使用ratecurve或irbootstrap要创建ratecurve对象。

创建一个比率曲线Settle = datetime(2019,9,15);类型=“零”；ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';ZeroDates = Settle + ZeroTimes;比率曲线(“零”、结算、ZeroDates ZeroRates)
myRC =带有属性的利率曲线:类型:“零”复合:-1基础:0日期:[10×1 datetime]利率:[10×1 double]结算:15-Sep-2019 InterpMethod:“线性”ShortExtrapMethod:“下一个”LongExtrapMethod:“前一个”

使用zerorates，forwardrates,或discountfactors与ratecurve对象。

CurveSettle = datetime(2019,9,15);% zeroratesoutZeroRates = zerorates(myRC,CurveSettle+30:30:CurveSettle+720)% forwardratesoutForwardRates = forwardrates(myRC,datetime(2019,12,15)，datetime(2021,9,15)，6,7)% discountfactorsoutDiscountFactors =折扣因子(myRC,CurveSettle+30:30:CurveSettle+720)
outZeroRates =列1至14 0.0052 0.0052 0.0052 0.0052 0.0052 0.0052 0.0052 0.0052 0.0053 0.0053 0.0054 0.0055 0.0055 0.0056列15至24 0.0056 0.0057 0.0057 0.0058 0.0059 0.0059 0.0059 0.0060 0.0060 0.0061 outForwardRates = 0.0062 outDiscountFactors =列1至14 0.9996 0.9991 0.9987 0.9983 0.9979 0.9974 0.9970 0.9965 0.9961 0.9961 0.9961 0.9956 0.9956 0.9951 0.9946 0.9941 0.9936列15至24 0.9931 0.9926 0.9920 0.9915 0.9910 0.9904 0.9898 0.9893 0.9887 0.9881

使用parametercurve，fitNelsonSiegel,或fitSvensson要创建parametercurve对象。

% parametercurve参数曲线(“零”datetime(2019、9、15),@ (t) polyval (-0.0001 0.003 0.02, t),“参数”，[-0.0001 0.003 0.02])
myPC =参数曲线与属性:类型:“零”结算:15-Sep-2019复合:-1基础:0 FunctionHandle: @(t)polyval([-0.0001,0.003,0.02]，t)参数:[-1.0000 -04 0.0030 0.0200]
% fitNelsonSiegelSettle = datetime(2017,9,15);成熟度= [datetime(2019,9,15);datetime(2021,9,15);.．.datetime(2023、9、15);datetime(2026、9、7);.．.datetime(2035、9、15);datetime(2047、9、15)];CleanPrice = [100.1; 100.1; 100.8; 96.6; 103.3; 96.3);CouponRate = [0.0400;0.0425;0.0450;0.0400;0.0500;0.0425]nInst =数字(CouponRate);债券(nInst,1) = fininstrument.FinInstrument;为ii=1: nst债券(ii) = fininstrument(“FixedBond”，“成熟”成熟度(ii),.．.“CouponRate”CouponRate (ii));结束NSModel = fitNelsonSiegel(结算，债券，清洁价格)
NSModel =参数曲线与属性:类型:“零”结算:15-Sep-2017复合:-1基础:0 FunctionHandle: @(t)fitF(Params,t)参数:[1.2473 -05 0.0362 0.0903 16.4263]
% fitSvenssonSettle = datetime(2017,9,15);成熟度= [datetime(2019,9,15);datetime(2021,9,15);.．.datetime(2023、9、15);datetime(2026、9、7);.．.datetime(2035、9、15);datetime(2047、9、15)];CleanPrice = [100.1; 100.1; 100.8; 96.6; 103.3; 96.3);CouponRate = [0.0400;0.0425;0.0450;0.0400;0.0500;0.0425]nInst =数字(CouponRate);债券(nInst,1) = fininstrument.FinInstrument;为ii=1: nst债券(ii) = fininstrument(“FixedBond”，“成熟”成熟度(ii),.．.“CouponRate”CouponRate (ii));结束SvenModel = fitSvensson(结算，债券，清洁价格)
SvenModel =参数曲线与属性:类型:“零”结算:15-Sep-2017复合:-1基础:0 FunctionHandle: @(t)fitF(Params,t)参数:[2.2821 -41.8873 41.4090 -5.9589 0.3255 3.2356]

使用zerorates，discountfactors，forwardrates与myPCparametercurve对象。

% zeroratesCurveSettle =日期时间(“15 - 9 - 2019”）;outZeroRates = zerorates(myPC,CurveSettle+30:30:CurveSettle+720)% discountfactorsCurveSettle =日期时间(“15 - 9 - 2019”）;outDiscountFactors =折扣因子(myPC,CurveSettle+30:30:CurveSettle+720)% forwardratesoutForwardRates = forwardrates(myPC,datetime(2019,9,15)，datetime(2020,9,15)，6,7)
outZeroRates =列1至14 0.0202 0.0205 0.0207 0.0210 0.0212 0.0215 0.0217 0.0219 0.0222 0.0224 0.0226 0.0229 0.0231 0.0233列15至24 0.0235 0.0238 0.0240 0.0242 0.0244 0.0246 0.0249 0.0249 0.0253 0.0255 outDiscountFactors =列1至14 0.9983 0.9966 0.9949 0.9931 0.9913 0.9895 0.9876 0.9857 0.9838 0.9818 0.9798 0.9778 0.9757 0.9736列15至24 0.9715 0.9693 0.9671 0.9649 0.9627 0.9604 0.9581 0.9558 0.9534 0.9510 outForwardRates = 0.0229

转换RateSpec到一个ratecurve对象

您可以创建RateSpec使用intenvset或toRateSpec从一个IRDataCurve对象。然后，您可以隐藏之前创建的内容RateSpec到一个ratecurve对象。

假设有一个RateSpec结算=日期时间(01 - 10月- 2019的）;ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';ZeroDates = Settle + ZeroTimes;基= 1;RateSpec = intenvset(startdate可以的解决,“EndDates”ZeroDates,.．.“利率”ZeroRates,“基础”基础)
RateSpec = struct with fields: FinObj: 'RateSpec'复合:2 Disc: [10×1 double] Rates: [10×1 double] EndTimes: [10×1 double] StartTimes: [10×1 double] EndDates: [10×1 double] StartDates: 737699 ValuationDate: 737699 Basis: 1 EndMonthRule: 1
将RateSpec转换为利率曲线比率曲线(“零”, RateSpec.EndDates RateSpec.ValuationDate RateSpec.Rates,.．.“复合”, RateSpec。复合,“基础”RateSpec.Basis)
myRC =利率曲线与属性:类型:“零”复合:2基础:1日期:[10×1 datetime]利率:[10×1 double]结算:01-Oct-2019 InterpMethod:“线性”ShortExtrapMethod:“下一个”LongExtrapMethod:“前一个”
检查折扣因素OldDF = intenvget(intenvset(RateSpec，“EndDates”datetime (01 - 10月- 2024的)),“盘”) NewDF =折扣因子(myRC,datetime(01 - 10月- 2024的）)
oldddf = 0.9424 NewDF = 0.9424

在这种情况下，RateSpec而且ratecurve都是相同的。这可能并不总是如此，因为yearfrac用于计算时间在ratecurve而date2time用于计算aRateSpec．有关更多信息，请参见yearfrac和date2time之间的差异．

另请参阅

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