Analyze Yield Curves
The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. The Financial Instruments Toolbox™ provides additional functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different type of interest-rate curves. For more information, see Build and Analyze Curve Models (Financial Instruments Toolbox).
Functions
disc2zero | Zero curve given discount curve |
fwd2zero | Zero curve given forward curve |
prbyzero | Price bonds in portfolio by set of zero curves |
pyld2zero | Zero curve given par yield curve |
zbtprice | Zero curve bootstrapping from coupon bond data given price |
zbtyield | Zero curve bootstrapping from coupon bond data given yield |
zero2disc | Discount curve given zero curve |
zero2fwd | Forward curve given zero curve |
zero2pyld | Par yield curve given zero curve |
Topics
- Term Structure of Interest Rates
This example shows how to derive and analyze interest-rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.
- Sensitivity of Bond Prices to Interest Rates
This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.
- Bond Prices and Yield Curve Parallel Shifts
This example uses bond pricing functions to evaluate the impact of time-to-maturity and yield variation on the price of a bond portfolio.
- Bond Prices and Yield Curve Nonparallel Shifts
This example shows how to construct a bond portfolio to hedge the interest-rate risk of a Treasury bond maturing in 20 years.
- Term Structure Analysis and Interest-Rate Swaps
This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.
- Pricing and Computing Yields for Fixed-Income Securities
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.
