The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. The Financial Instruments Toolbox™ provides additional functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different type of interest-rate curves. For more information, see Yield Curves (Financial Instruments Toolbox).
|Zero curve given discount curve|
|Zero curve given forward curve|
|Price bonds in portfolio by set of zero curves|
|Zero curve given par yield curve|
|Zero curve bootstrapping from coupon bond data given price|
|Zero curve bootstrapping from coupon bond data given yield|
|Discount curve given zero curve|
|Forward curve given zero curve|
|Par yield curve given zero curve|
Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.
This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.
This example uses bond pricing functions to evaluate the impact of time-to-maturity and yield variation on the price of a bond portfolio.
This example shows how to construct a bond portfolio to hedge the interest-rate risk of a Treasury bond maturing in 20 years.
This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.