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Interest-Rate Curve Objects

Class Structure

Financial Instruments Toolbox™ class structure supports interest-rate curve objects. The class structure supports five classes.

Class Name

Description

@IRCurve

Base abstract class for interest-rate curves. IRCurve is an abstract class; you cannot create instances of it directly. You can create IRFunctionCurve and IRDataCurve objects that are derived from this class.

@IRDataCurve

Creates a representation of an interest-rate curve with dates and data. IRDataCurve is constructed directly by specifying dates and corresponding interest rates or discount factors, or you can bootstrap an IRDataCurve object from market data.

@IRFunctionCurve

Creates a representation of an interest-rate curve with a function. IRFunctionCurve is constructed directly by specifying a function handle, or you can fit a function to market data using methods of the IRFunctionCurve object.

@IRBootstrapOptions

The IRBootstrapOptions object lets you specify options relating to the bootstrapping of an IRDataCurve object.

@IRFitOptions

The IRFitOptions object lets you specify options relating to the fitting process for an IRFunctionCurve object.

Workflow Using Interest-Rate Curve Objects

The supported workflow model for using interest-rate curve objects is:

  1. Create an interest-rate curve based on an IRDataCurve object or an IRFunctionCurve object.

    • To create an IRDataCurve object:

      • Use vectors of dates and data with interpolation methods.

      • Use bootstrapping based on market instruments.

    • To create an IRFunctionCurve object:

      • Specify a function handle.

      • Fit a function using the Nelson-Siegel model, Svensson model, or smoothing spline model.

      • Fit a custom function.

  2. Use methods of the IRDataCurve or IRFunctionCurve objects to extract forward, zero, discount factor, or par yield curves for the interest-rate curve object.

  3. Convert an interest-rate curve from an IRDataCurve or IRFunctionCurve object to a RateSpec structure. This RateSpec structure is identical to the RateSpec produced by the Financial Instruments Toolbox function intenvset. Using the RateSpec for an interest-rate curve object, you can then use Financial Instruments Toolbox functions to model an interest-rate structure and price.

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