Interest-Rate Curve Objects and Workflow

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

Class Structure

Class Name	Description
`IRDataCurve`	Creates a representation of an interest-rate curve with dates and data. `IRDataCurve` is created directly by specifying dates and corresponding interest rates or discount factors, or you can bootstrap an `IRDataCurve` object from market data.
`IRFunctionCurve`	Creates a representation of an interest-rate curve with a function. `IRFunctionCurve` is created directly by specifying a function handle, or you can fit a function to market data using functions of the `IRFunctionCurve` object.
`IRBootstrapOptions`	The `IRBootstrapOptions` object lets you specify options relating to the bootstrapping of an `IRDataCurve` object.
`IRFitOptions`	The `IRFitOptions` object lets you specify options relating to the fitting process for an `IRFunctionCurve` object.

The supported workflow model for using interest-rate curve objects is:

Create an interest-rate curve based on an IRDataCurve object or an IRFunctionCurve object.
- To create an IRDataCurve object:
  - Use vectors of dates and data with interpolation methods.
  - Use bootstrapping based on market instruments.
  For more information on creating an IRDataCurve object, see Creating an IRDataCurve Object.
- To create an IRFunctionCurve object:
  - Specify a function handle.
  - Fit a function using the Nelson-Siegel model, Svensson model, or smoothing spline model.
  - Fit a custom function.
Use functions of the IRDataCurve or IRFunctionCurve objects to extract forward, zero, discount factor, or par yield curves for the interest-rate curve object.
Convert an interest-rate curve from an IRDataCurve or IRFunctionCurve object to a RateSpec structure. This RateSpec structure is identical to the RateSpec produced by the function intenvset. Using the RateSpec for an interest-rate curve object, you can then use Financial Instruments Toolbox functions to model an interest-rate structure and price. Alternatively, you can convert the RateSpec to a ratecurve object (see Convert RateSpec to a ratecurve Object) and then use the Financial Instruments Toolbox object-based framework for pricing instruments.

Related Examples