Converting an IRDataCurve or IRFunctionCurve Object

Introduction

The IRDataCurve and IRFunctionCurve objects for interest-rate curves support conversion to:

• A RateSpec structure.

The RateSpec generated from an IRDataCurve or IRFunctionCurve object, using the toRateSpec function, is identical to the RateSpec structure created with intenvset using Financial Instruments Toolbox™ software.

• A vector of dates and data from an IRDataCurve object

The vector of dates and data is acceptable to prbyzero, bkcall, bkput, tfutbyprice, and tfutbyyield or any function that requires a term structure of interest rates.

Using the toRateSpec Function

To convert an IRDataCurve or IRFunctionCurve object to a RateSpec structure, you must first create an interest-rate curve object. Then, use the toRateSpec function for an IRDataCurve object or thetoRateSpec function for an IRFunctionCurve object.

Example

Create a data vector from the following data: https://www.ustreas.gov/offices/domestic-finance/debt-management/
interest-rate/yield.shtml
.

Data = [1.85 1.84 1.91 2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[30 90 180 360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],2);
scatter(Dates,Data)
datetick

Create an IRDataCurve interest-rate curve object.

rr = IRDataCurve('Zero',today,Dates,Data);

Convert to a RateSpec.

toRateSpec(rr, today+30:30:today+365)
ans =
FinObj: 'RateSpec'
Compounding: 2
Disc: [12x1 double]
Rates: [12x1 double]
EndTimes: [12x1 double]
StartTimes: [12x1 double]
EndDates: [12x1 double]
StartDates: 733569
ValuationDate: 733569
Basis: 0
EndMonthRule: 1

Using Vector of Dates and Data

You can use the getZeroRates function for an IRDataCurve object with a Dates property to create a vector of dates and data acceptable for prbyzero in Financial Toolbox™ software and bkcall, bkput, tfutbyprice, and tfutbyyield in Financial Instruments Toolbox software.

Example

This is an example of using an IRDataCurve object with the getZeroRates function with prbyzero.

Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],1);
irdc = IRDataCurve('Zero',today,Dates,Data,'InterpMethod','pchip');