Main Content

Build and Analyze Curve Models

Create and analyze interest-rate and default probability curves

Analyze interest-rate curves or bootstrap interest-rate curves from market data using a ratecurve object. Estimate parameters for yield curve models using a parametercurve object. Price inflation instruments using an inflationcurve object. Price credit instruments using a default probability curve with a defprobcurve object. Create a curve for a short-term interest-rate instrument using irbootstrap.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Functions

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ratecurveCreate ratecurve object for interest-rate curve from dates and data
zeroratesCalculate zero rates for ratecurve object
forwardratesCalculate forward rates for ratecurve object
discountfactorsCalculate discount factors for a ratecurve object
irbootstrapBootstrap interest-rate curve from market data
inflationcurveCreate inflationcurve object for interest-rate curve from dates and data
indexvaluesCalculate index values for inflationcurve object
inflationbuildBuild inflation curve from market zero-coupon inflation swap rates
parametercurveCreate parametercurve object for storing interest-rate curve function
zeroratesCalculate zero rates for parametercurve object
discountfactorsCalculate discount factors for parametercurve object
forwardratesCalculate forward rates for parametercurve object
fitNelsonSiegelFit Nelson-Siegel model to bond market data
fitSvenssonFit Svensson model to bond market data
defprobcurveCreate defprobcurve object for credit instrument
survprobsCompute survival probability based on default probability curve
hazardratesCompute hazard rates based on default probability curve
defprobstripBootstrap defprobcurve object from market CDS instruments

Objects

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STIRFutureSTIRFuture instrument object
OISFutureOISFuture instrument object
OvernightIndexedSwapOvernightIndexedSwap instrument object

Examples and How To

Bootstrap Default Probability Curve from Market CDS Instruments

This example shows how to use defprobstrip to bootstrap a defprobcurve object based on market CDS instruments.

Concepts

Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments

Use objects to model and price financial instruments.

Choose Instruments, Models, and Pricers

Select instruments, associated models, and associated pricers.

Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers

Mapping functions to a workflow using objects for instruments, models, and pricers.

Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

Mapping curve functions to an object-based framework.

Supported Exercise Styles

The following table lists the interest-rate instrument objects with their associated models and pricers and supported Exercise styles.

Featured Examples