Represent interest-rate curve object based on vector of dates and data
Superclasses: @IRCurve
Subclasses: None
IRDataCurve
is a representation of an interest-rate
curve object with dates and data. You can construct this object directly
by specifying dates and corresponding interest rates or discount factors;
alternatively, you can bootstrap the object from market data. After
an interest-rate curve object is constructed, you can:
Calculate forward and zero rates and determine par yields.
Extract the discount factors.
Convert to a RateSpec
structure
that is identical to the RateSpec
structure produced
by the function intenvset
.
Name | Description |
---|---|
Type | Type of interest-rate curve: |
Settle | Scalar for the |
Compounding | Scalar that sets the compounding frequency per year for
the
|
Basis | Day-count basis of the financial curve. A vector of integers.
For more information, see Basis. |
Dates | Dates corresponding to rate data. |
Data | Interest-rate data or discount factors for the curve object. |
InterpMethod | Values are:
|
The following table contains links to methods with supporting reference pages, including examples.
Method | Description |
---|---|
getForwardRates | Returns forward rates for input dates. |
getZeroRates | Returns zero rates for input dates. |
getDiscountFactors | Returns discount factors for input dates. |
getParYields | Returns par yields for input dates. |
toRateSpec | Converts to be a |
bootstrap | Bootstraps an interest rate curve from market data. |
bootstrap
| getDiscountFactors
| getForwardRates
| getParYields
| getZeroRates
| IRBootstrapOptions
| IRFunctionCurve
| toRateSpec