forwardrates

Calculate forward rates for ratecurve object

Syntax

outRates = forwardrates(obj,startDates,endDates)

outRates = forwardrates(___,inpComp,inpBasis)

Description

outRates = forwardrates(obj,startDates,endDates) calculates forward rates for the ratecurve object (obj) based on the startDates and endDates.

outRates = forwardrates(___,inpComp,inpBasis) optionally specifies the input compounding frequency (inpComp) and the input day-count basis (inpBasis) in addition to any of the input argument combinations in the previous syntax.

Examples

Calculate Forward Rates for ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates,'Compounding',2,'Basis',5,'InterpMethod',"pchip",'ShortExtrapMethod',"linear",'LongExtrapMethod',"pchip")

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 2
                Basis: 5
                Dates: [10×1 datetime]
                Rates: [10×1 double]
               Settle: 15-Sep-2019
         InterpMethod: "pchip"
    ShortExtrapMethod: "linear"
     LongExtrapMethod: "pchip"

Compute the forward rates using forwardrates.

outRates = forwardrates(myRC,datetime(2019,12,15),datetime(2021,9,15),6,7)

outRates = 
0.0062

Input Arguments

obj — ratecurve object

ratecurve object | parametercurve object

ratecurve object, specified using a previously created ratecurve object.

In addition, you can use a parametercurve object. Also, you can create a parametercurve object using fitNelsonSiegel, fitSvensson, or fitSmithWilson.

Data Types: object

startDates — Start dates of interval to discount over

datetime array | string array | date character vector

Start dates of the interval to discount over, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors. startDates must be earlier than endDates.

To support existing code, forwardrates also accepts serial date numbers as inputs, but they are not recommended.

endDates — Maturity dates ending interval to discount over

datetime array | string array | date character vector

Maturity dates ending the interval to discount over, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, forwardrates also accepts serial date numbers as inputs, but they are not recommended.

inpComp — Input compounding frequency

Compounding for the ratecurve object (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

(Optional) Input compounding frequency, specified as a scalar numeric using one of the supported values: –1, 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

inpBasis — Input day-count basis

0 (actual/actual) (default) | integer from 0 to 13

(Optional) Input day-count basis, specified as 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

outRates — Forward rates

numeric

Forward rates, returned as a numeric.

More About

Forward Rate

A forward rate is the agreed-upon interest rate for a loan or investment that will occur at a specified future date.

The forward rate is derived from the current yield curve and reflects market expectations of future interest rates.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although forwardrates 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.