IRFunctionCurve

Construct interest-rate curve object from function handle or function and fit to market data

Description

Build a IRFunctionCurve object using IRFunctionCurve.

After you create an IRFunctionCurve object, you can fit the bond using the following functions.

Object Function	Description
getForwardRates	Returns forward rates for input dates.
getZeroRates	Returns zero rates for input dates.
getDiscountFactors	Returns discount factors for input dates.
getParYields	Returns par yields for input dates.
toRateSpec	Converts to be a RateSpec object. This RateSpec structure is identical to the RateSpec produced by the function intenvset.

Alternatively, you can create an IRFunctionCurve object using the following methods.

Method	Description
fitNelsonSiegel	Fits a Nelson-Siegel function to market data.
fitSvensson	Fits a Svensson function to market data.
fitSmoothingSpline	Fits a smoothing spline function to market data.
fitFunction	Fits a custom function to market data.

For more detailed information on this workflow, see Interest-Rate Curve Objects and Workflow.

Creation

Syntax

IRFunctionCurve_obj = IRFunctionCurve(Type,Settle,FunctionHandle)

IRFunctionCurve_obj = IRFunctionCurve(___,Name,Value)

Description

IRFunctionCurve_obj = IRFunctionCurve(Type,Settle,FunctionHandle) creates an interest-rate curve object directly by specifying a function handle and sets properties and creates an IRFunctionCurve object.

IRFunctionCurve_obj = IRFunctionCurve(___,Name,Value) sets properties using optional name-value pairs and any of the arguments in the previous syntax. For example, IRFunctionCurve_obj = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t)) creates an IRFunctionCurve object for a forward curve. You can specify multiple name-value pair arguments.

Input Arguments

Type — Type of interest-rate curve

string with value "zero", "forward", or "discount" | character vector with value 'zero', 'forward', or 'discount'

Type of interest-rate curve, specified as a scalar string or character vector for one of the supported types.

Data Types: char | string

Settle — Settlement date for the curve

datetime scalar | string scalar | date character vector

Settlement date for the curve, specified as a scalar datetime, string, or date character vector.

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

FunctionHandle — Dates corresponding to rate data

function handle

Dates corresponding to the rate data, specified as a function handle. The function handle requires one numeric input (time-to-maturity) and returns one numeric output (interest rate or discount factor). For more information on creating a function handle, see Create Function Handle.

Data Types: function_handle

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: IRFunctionCurve_obj = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t))

Compounding — Compounding frequency per-year for curve

-1 (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

Compounding frequency per-year for the curve, specified as the comma-separated pair consisting of 'Compounding' and a scalar numeric using the supported values: –1, 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

Basis — Day count basis of the bond

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

Day count basis of the bond, 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

Parameters — Curve parameters

[ ] (default) | numeric

Curve parameters, specified as the comma-separated pair consisting of 'Parameters' and a numeric value.

Data Types: double

Properties

Type — Type of interest-rate curve

string with value "zero", "forward", or "discount"

This property is read-only.

Instrument type, returned as a string.

Data Types: string

Settle — Settlement date for the curve

datetime

This property is read-only.

Settlement date for the curve, returned as a datetime.

Data Types: datetime

FunctionHandle — Dates corresponding to rate data

function handle

This property is read-only.

Function handle that defines the interest-rate curve, returned as a scalar function handle.

Data Types: function_handle

Compounding — Compounding frequency per-year for curve

-1 (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

This property is read-only.

Compounding frequency per-year for curve, returned as a scalar numeric.

Data Types: double

Basis — Day count basis of the bond

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

This property is read-only.

Day count basis of the bond, returned as a scalar integer.

Data Types: double

Parameters — Curve parameters

[ ] (default) | numeric

This property is read-only.

Curve parameters, returned as a numeric value.

Data Types: double

Object Functions

getForwardRates	Get forward rates for input dates for IRFunctionCurve
getZeroRates	Get zero rates for input dates for IRFunctionCurve
getDiscountFactors	Get discount factors for input dates for IRFunctionCurve
getParYields	Get par yields for input dates for IRFunctionCurve
toRateSpec	Convert IRFunctionCurve object to RateSpec

Examples

Create IRFunctionCurve Object

This example shows how to create an IRFunctionCurve object for a forward interest-rate curve.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t))

irfc = 
			 Type: Forward
		   Settle: 739500 (05-Sep-2024)
	  Compounding: 2
			Basis: 0 (actual/actual)

Version History

Introduced in R2008b

R2022b: Serial date numbers not recommended

Although IRFunctionCurve 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.