forwardrates

Calculate forward rates for parametercurve object

Syntax

outRates = forwardrates(obj,startDates,endDates)

outRates = forwardrates(___,inpComp,inpBasis)

Description

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

outRates = forwardrates(___,inpComp,inpBasis) specifies options in addition to any of the input argument combinations in the previous syntax.

Examples

Calculate Forward Rates for parametercurve Object

Create a parametercurve object using parametercurve.

PCobj = parametercurve('zero',datetime(2019,9,15),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])

PCobj = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2019
       Compounding: 4
             Basis: 5
    FunctionHandle: @(t)polyval([-0.0001,0.003,0.02],t)
        Parameters: [-1.0000e-04 0.0030 0.0200]

Compute the forward rates using forwardrates.

CurveSettle = datetime(2019,9,15);
outRates = forwardrates(PCobj,datetime(2019,12,15),datetime(2020,9,15),6,7)

outRates = 0.0236

Input Arguments

obj — parametercurve object

parametercurve object

parametercurve object, specified as a previously created parametercurve object.

Data Types: object

startDates — Start dates of interval to discount over

datetime | serial date number | date character vector | date string

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

Data Types: string | datetime | double | char | cell

endDates — Maturity dates ending the interval to discount over

serial date number | date character vector | date string | datetime

Maturity dates ending the interval to discount over, specified as a scalar or an NPOINTS-by-1 vector of a datetimes, serial date numbers, cell array of date character vectors, or string array.

Data Types: string | datetime | double | char | cell

inpComp — Input compounding frequency

Compounding for the parametercurve 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.

Version History

Introduced in R2020a