IRDataCurve
object from
market data and analyze zero curveFor information about using the IRDataCurve
object,
see the Interest-Rate Curve Objects and Workflow.
IRDataCurve | Construct interest-rate curve object from dates and data |
IRBootstrapOptions | Construct specific options for bootstrapping interest-rate curve object |
Creating Interest-Rate Curve Objects
Alternatives for creating an interest-rate curve object.
Creating an IRDataCurve Object
Use the IRDataCurve
constructor
with vectors of dates and data to create an interest-rate curve object.
This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the IRDataCurve
object.
This example shows how to bootstrap a forward curve using a different curve for discounting.
Converting an IRDataCurve or IRFunctionCurve Object
The IRDataCurve
and IRFunctionCurve
objects
for interest-rate curves support conversion.
Analysis of Inflation Indexed Instruments
This example shows how to analyze inflation indexed instruments using Financial Toolbox™ and Financial Instruments Toolbox™.
This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.
Interest-Rate Curve Objects and Workflow
Financial Instruments Toolbox™ class structure supports interest-rate curve objects.