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Bootstrap from Market Data

Bootstrap IRDataCurve object from market data and analyze zero curve

For information about using the IRDataCurve object, see the Interest-Rate Curve Objects and Workflow.

Objects

IRDataCurveConstruct interest-rate curve object from dates and data
IRBootStrapOptionsConstruct specific options for bootstrapping interest-rate curve object

Functions

bootstrapBootstrap interest-rate curve from market data
getDiscountFactorsGet discount factors for input dates for IRDataCurve
getForwardRatesGet forward rates for input dates for IRDataCurve
getParYieldsGet par yields for input dates for IRDataCurve
getZeroRatesGet zero rates for input dates for IRDataCurve
toRateSpecConvert IRDataCurve object to RateSpec

Examples and How To

Creating Interest-Rate Curve Objects

Alternatives for creating an interest-rate curve object.

Creating an IRDataCurve Object

Use the IRDataCurve constructor with vectors of dates and data to create an interest-rate curve object.

Bootstrapping a Swap Curve

This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the IRDataCurve object.

Dual Curve Bootstrapping

This example shows how to bootstrap a forward curve using a different curve for discounting.

Converting an IRDataCurve or IRFunctionCurve Object

The IRDataCurve and IRFunctionCurve objects for interest-rate curves support conversion.

Analyze Inflation-Indexed Instruments

This example shows how to analyze inflation-indexed instruments using Financial Toolbox™ and Financial Instruments Toolbox™.

Fitting the Diebold Li Model

This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.

Concepts

Interest-Rate Curve Objects and Workflow

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

Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

Mapping curve functions to an object-based framework.