getParYields
Get par yields for input dates for IRDataCurve
Description
computes par yields for input dates for an F
= getParYields(CurveObj
,InpDates
)IRDataCurve
object.
adds optional name-value pair arguments. F
= getParYields(___,Name,Value
)
Examples
Get Par Yields For Input Dates For an IRDataCurve
This example shows how to get par yields for input dates for an IRDataCurve
.
CurveSettle = datetime(2016,3,2);
Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]);
irdc = IRDataCurve('Zero',CurveSettle,Dates,Data);
getParYields(irdc, CurveSettle+30:30:CurveSettle+720)
ans = 24×1
0.0175
0.0177
0.0181
0.0183
0.0186
0.0189
0.0194
0.0197
0.0200
0.0203
⋮
Compute Par Yields From a Curve With Simple Interest Compounding
This example shows how set the compounding of an IRDataCurve
to Zero
(simple interest) and then compute par yields from that curve.
CurveSettle = datetime(2016,3,2); Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100; Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]); irdc = IRDataCurve('Zero',CurveSettle,Dates,Data,'Compounding',0); SimpleInt = irdc.getParYields(Dates(1), 'Basis', 2, 'Compounding', 1)
SimpleInt = 0.0209
Input Arguments
CurveObj
— Interest-rate curve object
object
Interest-rate curve object, specified by using IRDataCurve
.
Data Types: object
InpDates
— Input dates
datetime array | string array | date character vector
Input dates, specified as an
NINST
-by-1
vector using a datetime
array, string array, or date character vectors. The input dates must be
after the Settle
date of IRDataCurve
.
To support existing code, getParYields
also
accepts serial date numbers as inputs, but they are not recommended.
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: F = getParYields(irdc,
CurveSettle+30:30:CurveSettle+720)
Compounding
— Compounding frequency per-year for par yield rates
CurveObj.Compounding
(default) | possible values include: –1
, 0
,
1
, 2
, 3
,
4
, 6
,
12
.
Compounding frequency per-year for par yield rates, specified as the
comma-separated pair consisting of 'Compounding'
and
a scalar numeric using one of the supported values:
−1
= Continuous compounding0
= Simple interest (no compounding)1
= Annual compounding2
= Semiannual compounding3
= Compounding three times per year4
= Quarterly compounding6
= Bimonthly compounding12
= Monthly compounding
Data Types: double
Basis
— Day count basis for the par yield rates
0
(actual/actual) (default) | integer from 0
to 13
Day count basis for the par yield rates, specified as the
comma-separated pair consisting of 'Basis'
and a
scalar integer.
0 — actual/actual
1 — 30/360 (SIA)
2 — actual/360
3 — actual/365
4 — 30/360 (PSA)
5 — 30/360 (ISDA)
6 — 30/360 (European)
7 — actual/365 (Japanese)
8 — actual/actual (ICMA)
9 — actual/360 (ICMA)
10 — actual/365 (ICMA)
11 — 30/360E (ICMA)
12 — actual/365 (ISDA)
13 — BUS/252
For more information, see Basis.
Data Types: double
Output Arguments
F
— Par yields
vector
Par yields, returned as a vector.
Version History
Introduced in R2008bR2022b: Serial date numbers not recommended
Although getParYields
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
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