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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.

Objects

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

Functions

bootstrapBootstrap interest-rate curve from market data
getDiscountFactorsGet discount factors for input dates for IRDataCurve
getForwardRatesGet forward rates for input dates for IRDataCurve
getParYieldsGet par yields for input dates for IRDataCurve
getZeroRatesGet zero rates for input dates for IRDataCurve
toRateSpecConvert IRDataCurve object to RateSpec

Examples and How To

Concepts