How can I convert interest rates from one day count and frequency to another using Financial Derivatives Toolbox 5.2 (R2008a)?

I want to convert an interest rate that is specified in a certain day count (basis), at certain frequency. I want to convert this interest rate to another day count, in a different frequency.

Answer 1

[MathWorks Support Team]

You can convert interest rates from one day count to another and from one frequency to another as below. The code first converts the given interest rate to a discount factor, and then uses the discount factor to convert to interest rate. During each conversion we specify different day count and frequency.

% Dummy dates for calculation purpose

StartDates = ['15-Feb-2000'];

EndDates  = ['15-Aug-2000'];

% Specify Frequency and Date Basis for Old Interest Rate

Compounding_old = 2;

ValuationDate = ['15-Feb-2000'];

Rates_old = [0.05];

Basis_old = 1; % 30/360 (SIA)

% Obtain Discount Factor

Disc = rate2disc(Compounding_old, Rates_old, EndDates, StartDates, ValuationDate, Basis_old);

% Specify Frequence and Date Basis for New Interest Rate

Compounding_new = 4;

Basis_new = 2; % For actual/360

% Obtain New Interest Rate

Rates_new = disc2rate(Compounding_new, Disc, EndDates, StartDates, ValuationDate, Basis_new)