Term Structure Definition and Analysis
Define and analyze interest-rate term structure
Use intenvset to
define an interest-rate term structure and analyze a term structure
with the associated functions.
Functions
date2time | Time and frequency from dates |
datedisp | Display date entries |
disc2rate | Interest rates from cash flow discounting factors |
intenvget | Properties of interest-rate structure |
intenvset | Set properties of interest-rate structure |
rate2disc | Discount factors from interest rates |
ratetimes | Change time intervals defining interest-rate environment |
time2date | Dates from time and frequency |
Topics
- Modeling the Interest-Rate Term Structure
Financial Instruments Toolbox™ includes a set of functions to encapsulate interest-rate term information into a single structure.
- Interest-Rate Term Conversions
This example illustrates spot curve to forward curve conversion and using
ratetimes. - Understanding Interest-Rate Term Structure
This example shows how to compute discount factors from rates or rates from discount factors.
