discountfactors

Calculate discount factors for parametercurve object

Syntax

outDF = discountfactors(obj,inpDates)

Description

outDF = discountfactors(obj,inpDates) calculates the discount factors for a parametercurve object.

Examples

Calculate Discount Factors for parametercurve Object

Create a parametercurve object using parametercurve.

PCobj = parametercurve('zero',datetime(2019,9,15),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])

PCobj = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2019
       Compounding: 4
             Basis: 5
    FunctionHandle: @(t)polyval([-0.0001,0.003,0.02],t)
        Parameters: [-1.0000e-04 0.0030 0.0200]

Compute the discount factors using discountfactors.

CurveSettle = datetime(2019,9,15);
outDF = discountfactors(PCobj,CurveSettle+30:30:CurveSettle+720)

outDF = 1×24

    0.9983    0.9967    0.9949    0.9932    0.9914    0.9895    0.9876    0.9857    0.9838    0.9818    0.9798    0.9778    0.9757    0.9737    0.9715    0.9694    0.9673    0.9649    0.9627    0.9604    0.9581    0.9558    0.9535    0.9511

Input Arguments

obj — parametercurve object

parametercurve object

parametercurve object, specified as a previously created parametercurve object.

Data Types: object

inpDates — Input dates

datetime | serial date number | date character vector | date string

Input dates, specified as a scalar or an NPOINTS-by-1 vector of a datetimes, serial date numbers, cell array of date character vectors, or string array.

Data Types: string | datetime | double | char | cell

Output Arguments

outDF — Discount factors

numeric

Discount factors, returned as a numeric.

Version History

Introduced in R2020a