Bootstrap from Market Data

Bootstrap IRDataCurve object from market data and analyze zero curve

For information about using the IRDataCurve object, see the Interest-Rate Curve Objects and Workflow.

Classes

IRDataCurveConstruct interest-rate curve object from dates and data
IRBootstrapOptionsConstruct specific options for bootstrapping interest-rate curve object

Examples and How To

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.

Bootstrapping a Swap Curve

This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the IRDataCurve object.

Dual Curve Bootstrapping

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™.

Fitting the Diebold Li Model

This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.

Concepts

Interest-Rate Curve Objects and Workflow

Financial Instruments Toolbox™ class structure supports interest-rate curve objects.