分析收益率曲线
收益率曲线显示给定借贷者使用给定货币时的利率与到期时间之间的关系。Financial Instruments Toolbox™ 还提供了额外的功能,您可以使用参数拟合模型和息票剥离法对市场数据进行收益率曲线拟合,估计参数并分析不同类型的利率曲线。有关详细信息,请参阅 Build and Analyze Curve Models (Financial Instruments Toolbox)。
函数
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 |
主题
- 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.
- Pricing and Computing Yields for Fixed-Income Securities
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.