Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

Financial Instruments Toolbox™ allows you to use either a function-based framework or an alternative object-based framework to create and analyze financial curves.

In the function-based framework, a typical workflow to create an interest-rate curve uses intenvset or 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)

irdc = 

			 Type: Zero
		   Settle: 736391 (02-Mar-2016)
	  Compounding: 2
			Basis: 0 (actual/actual)
	 InterpMethod: linear
			Dates: [8x1 double]
			 Data: [8x1 double]

By contrast, in the Financial Instruments Toolbox object-based workflow, you create a ratecurve object:

Settle = datetime(2017,9,15);
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])];
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
ZeroCurve = ratecurve("zero",Settle,ZeroDates,ZeroRates)

ZeroCurve = 

  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10×1 datetime]
                Rates: [10×1 double]
               Settle: 15-Sep-2017
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Note

The function-based and object-based workflows can return different prices even if you use the same data. This is because the existing Financial Instruments Toolbox curve functions use date2time and the object-based framework use yearfrac for date handling. For more information, see Difference Between yearfrac and date2time.

The following table lists the Financial Instruments Toolbox curve functions mapped to the associated object-based framework.

Financial Instruments Toolbox Curve Function	Object-Based Framework
`IRDataCurve`	`ratecurve`
`getForwardRates`	`forwardrates`
`getZeroRates`	`zerorates`
`getDiscountFactors`	`discountfactors`
`bootstrap`	`irbootstrap`
`IRFunctionCurve`	`parametercurve`
`getForwardRates`	`forwardrates`
`getZeroRates`	`zerorates`
`getDiscountFactors`	`discountfactors`
`fitNelsonSiegel`	`fitNelsonSiegel`
`fitSvensson`	`fitSvensson`
`cdsbootstrap`	`defprobstrip`
Not supported	`defprobcurve`
Not supported	`survprobs`
Not supported	`hazardrates`
Not supported	`STIRFuture` using `irbootstrap` to create `ratecurve` object
Not supported	`OISFuture` using `irbootstrap` to create `ratecurve` object
Not supported	`OvernightIndexedSwap` using `irbootstrap` to create `ratecurve` object

Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

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