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Interest-Rate Curve Objects and Workflow

Class Structure

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

Class Structure

Class Name

Description

IRDataCurve

Creates a representation of an interest-rate curve with dates and data. IRDataCurve is created 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 created directly by specifying a function handle, or you can fit a function to market data using functions 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.

      For more information on creating an IRDataCurve object, see Creating an IRDataCurve Object.

    • 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 functions 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 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. Alternatively, you can convert the RateSpec to a ratecurve object (see Convert RateSpec to a ratecurve Object) and then use the Financial Instruments Toolbox object-based framework for pricing instruments.

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