Analyze Yield Curves

Analyze interest-rate yield curve to determine zero, discount, forward, and par 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

Examples and How To

Term Structure of Interest Rates

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.

Concepts

Pricing and Computing Yields for Fixed-Income Securities

Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.