Analyze Yield Curves

Analyze interest-rate yield curve to determine zero, discount, forward, and par curves

The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. The Financial Instruments Toolbox™ provides additional functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different type of interest-rate curves. For more information, seeBuild and Analyze Curve Models(Financial Instruments Toolbox).

Functions

`disc2zero`	Zero curve given discount curve
`fwd2zero`	Zero curve given forward curve
`prbyzero`	Price bonds in portfolio by set of zero curves
`pyld2zero`	Zero curve given par yield curve
`zbtprice`	Zero curve bootstrapping from coupon bond data given price
`zbtyield`	Zero curve bootstrapping from coupon bond data given yield
`zero2disc`	Discount curve given zero curve
`zero2fwd`	Forward curve given zero curve
`zero2pyld`	Par yield curve given zero curve

Examples and How To

Term Structure of Interest Rates
Derive and analyze interest rate curves, including data conversion and extrapolation, bootstrapping, and interest-rate curve conversions.
Sensitivity of Bond Prices to Interest Rates
This example demonstrates an analysis of duration and convexity for a bond portfolio using SIA-compliant bond functions.
Bond Prices and Yield Curve Parallel Shifts
This example uses bond pricing functions to evaluate the impact of time-to-maturity and yield variation on the price of a bond portfolio.
Bond Prices and Yield Curve Nonparallel Shifts
This example shows how to construct a bond portfolio to hedge the interest-rate risk of a Treasury bond maturing in 20 years.
Term Structure Analysis and Interest-Rate Swaps
This example shows how to derive implied zero and forward curves from the observed market prices of coupon-bearing bonds.

Concepts

Pricing and Computing Yields for Fixed-Income Securities
Compute the accrued interest, price, yield, convexity, and duration of fixed-income securities.