getDiscountFactors

Get discount factors for input dates for IRDataCurve

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Syntax

F = getDiscountFactors(CurveObj,InpDates)

Description

F = getDiscountFactors(CurveObj,InpDates) computes discount factors for input dates for an IRDataCurve object.

Note

The ratecurve object and the associated discountfactors were introduced in R2020a as part of a new object-based framework in the Financial Instruments Toolbox™ which supports end-to-end workflows in instrument modeling and analysis. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

example

Examples

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Open Live Script

This example shows how to get discount factors for input dates for an IRDataCurve.

CurveSettle = datetime(2016,3,2);
Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]);
irdc = IRDataCurve('Zero',CurveSettle,Dates,Data);
getDiscountFactors(irdc, CurveSettle+30:30:CurveSettle+720)
ans = 24×1

    0.9986
    0.9971
    0.9956
    0.9940
    0.9924
    0.9907
    0.9890
    0.9873
    0.9855
    0.9836
    0.9817
    0.9798
    0.9778
    0.9757
    0.9736
      ⋮

Input Arguments

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Interest-rate curve object, specified by using IRDataCurve.

Data Types: object

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 IRDataCurve.

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

Output Arguments

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Discount factors, returned as a vector.

More About

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Version History

Introduced in R2008b

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See Also

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