@IRDataCurve

Represent interest-rate curve object based on vector of dates and data

• Hierarchy

• Description

• Constructor

• Public Read-Only Properties

• Methods

Hierarchy

Superclasses: @IRCurve

Subclasses: None

Description

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.

Constructor

IRDataCurve

Public Read-Only Properties

Name	Description
Type	Type of interest-rate curve: zero, forward, or discount.
Settle	Scalar for the Settle date of the curve.
Compounding	Scalar that sets the compounding frequency per year for the IRCurve object: -1 = Continuous compounding 0 = Simple interest (no compounding) 1 = Annual compounding 2 = Semiannual compounding (default) 3 = Compounding three times per year 4 = Quarterly compounding 6 = Bimonthly compounding 12 = Monthly compounding
Basis	Day-count basis of the financial curve. A vector of integers. 0 = actual/actual (default) 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (BMA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ICMA) 9 = actual/360 (ICMA) 10 = actual/365 (ICMA) 11 = 30/360E (ICMA) 12 = actual/actual (ISDA) 13 = BUS/252 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: 'linear' — Linear interpolation (default). 'constant' — Piecewise constant interpolation. 'pchip' — Piecewise cubic Hermite interpolation. 'spline' — Cubic spline interpolation.

Methods

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 RateSpec object. This structure is identical to the RateSpec produced by the function intenvset.
bootstrap	Bootstraps an interest rate curve from market data.