zerorates

Calculate zero rates for parametercurve object

Syntax

outRates = zerorates(obj,inpDates)

outRates = zerorates(___,inpComp,inpBasis)

Description

outRates = zerorates(obj,inpDates) computes zero rates for the parametercurve object (obj) based on inpDates.

outRates = zerorates(___,inpComp,inpBasis) specifies options in addition to any of the input argument combinations in the previous syntax.

Examples

Calculate Zero Rates 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 zero rates using zerorates.

CurveSettle = datetime(2019,9,15);
outRates = zerorates(PCobj,CurveSettle+30:30:CurveSettle+720)

outRates = 1×24

    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    0.0235    0.0238    0.0240    0.0242    0.0244    0.0247    0.0249    0.0251    0.0253    0.0255

Input Arguments

obj — parametercurve object

parametercurve object

parametercurve object, specified as a previously created parametercurve object.

Data Types: object

inpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors. StartDates must be earlier than EndDates.

To support existing code, zerorates also accepts serial date numbers as inputs, but they are not recommended.

inpComp — Input compounding frequency

Compounding for the parametercurve object (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

(Optional) Input compounding frequency, specified as a scalar numeric using one of the supported values: –1, 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

inpBasis — Input day-count basis

0 (actual/actual) (default) | integer from 0 to 13

(Optional) Input day-count basis, specified as a scalar integer.

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 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/365 (ISDA)

• 13 = BUS/252

For more information, see Basis.

Data Types: double

Output Arguments

outRates — Zero rates

numeric

Zero rates, returned as a numeric.

More About

Zero Rate

A zero rate is the interest rate applicable to a zero-coupon bond, which is a bond that does not pay periodic interest (coupons) but is sold at a discount to its face value.

The return to the investor comes from the difference between the purchase price and the face value paid at maturity.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although zerorates supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.