toRateSpec

Convert IRFunctionCurve object to RateSpec

Syntax

F = toRateSpec(CurveObj,InpDates)

Description

F = toRateSpec(CurveObj,InpDates) computes RateSpec object for input dates for an IRFunctionCurve object. The RateSpec object that is identical to the RateSpec structure created by the function intenvset.

Examples

Convert an IRFunctionCurve Object to a RateSpec

This example shows how to convert an IRFunctionCurve object to a RateSpec. First, an IRFunctionCurve object is created using the function IRFunctionCurve constructor, then a RateSpec structure is created using the toRateSpec method.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
toRateSpec(irfc, today+30:30:today+365)

ans = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [12×1 double]
            Rates: [12×1 double]
         EndTimes: [12×1 double]
       StartTimes: [12×1 double]
         EndDates: [12×1 double]
       StartDates: 739838
    ValuationDate: 739838
            Basis: 0
     EndMonthRule: 1

Input Arguments

CurveObj — Interest-rate curve object

object

Interest-rate curve object, specified by using IRFunctionCurve.

Data Types: object

InpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as an NINST-by-1 vector using a datetime array, string array, or date character vectors. The input dates must be after the Settle date of IRFunctionCurve.

To support existing code, toRateSpec also accepts serial date numbers as inputs, but they are not recommended.

Output Arguments

F — Rate spec

object

Rate spec, returned as an object. The RateSpec object that is identical to the RateSpec structure created by the function intenvset.

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

Version History

Introduced in R2008b

R2022b: Serial date numbers not recommended

Although toRateSpec supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.