getParYields

Get par yields for input dates for `IRDataCurve`

Syntax

``F = getParYields(CurveObj,InpDates)``
``F = getParYields(___,Name,Value)``

Description

example

````F = getParYields(CurveObj,InpDates)` computes par yields for input dates for an `IRDataCurve` object. ```

example

````F = getParYields(___,Name,Value)` adds optional name-value pair arguments. ```

Examples

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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 ⋮ ```

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

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Interest-rate curve object, specified by using `IRDataCurve`.

Data Types: `object`

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 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 compounding

• `0` = Simple interest (no compounding)

• `1` = Annual compounding

• `2` = Semiannual compounding

• `3` = Compounding three times per year

• `4` = Quarterly compounding

• `6` = Bimonthly compounding

• `12` = Monthly compounding

Data Types: `double`

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

Data Types: `double`

Output Arguments

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Par yields, returned as a vector.

Version History

Introduced in R2008b

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