IRDataCurveobject from market data and analyze zero curve
For information about using the
object, see the Interest-Rate Curve Objects and Workflow.
|Bootstrap interest-rate curve from market data|
|Get discount factors for input dates for
|Get forward rates for input dates for
|Get par yields for input dates for |
|Get zero rates for input dates for |
Alternatives for creating an interest-rate curve object.
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
This example shows how to bootstrap a forward curve using a different curve for discounting.
for interest-rate curves support conversion.
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.
Financial Instruments Toolbox™ class structure supports interest-rate curve objects.
Mapping curve functions to an object-based framework.