How can I convert interest rates from one day count and frequency to another using Financial Derivatives Toolbox 5.2 (R2008a)?

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MathWorks Support Team 2009-6-27

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https://ww2.mathworks.cn/matlabcentral/answers/94533-how-can-i-convert-interest-rates-from-one-day-count-and-frequency-to-another-using-financial-derivat

I want to convert an interest rate that is specified in a certain day count (basis), at certain frequency. I want to convert this interest rate to another day count, in a different frequency.

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Answer 1

MathWorks Support Team 2009-6-27

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https://ww2.mathworks.cn/matlabcentral/answers/94533-how-can-i-convert-interest-rates-from-one-day-count-and-frequency-to-another-using-financial-derivat#answer_103885

You can convert interest rates from one day count to another and from one frequency to another as below. The code first converts the given interest rate to a discount factor, and then uses the discount factor to convert to interest rate. During each conversion we specify different day count and frequency.

% Dummy dates for calculation purpose
StartDates = ['15-Feb-2000'];
EndDates  = ['15-Aug-2000'];
% Specify Frequency and Date Basis for Old Interest Rate
Compounding_old = 2;
ValuationDate = ['15-Feb-2000'];
Rates_old = [0.05];
Basis_old = 1; % 30/360 (SIA)
% Obtain Discount Factor
Disc = rate2disc(Compounding_old, Rates_old, EndDates, StartDates, ValuationDate, Basis_old);
% Specify Frequence and Date Basis for New Interest Rate
Compounding_new = 4;
Basis_new = 2; % For actual/360
% Obtain New Interest Rate
Rates_new = disc2rate(Compounding_new, Disc, EndDates, StartDates, ValuationDate, Basis_new)