Interest-Rate Curve Objects and Workflow

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

Class Structure

Class Name	Description
@IRCurve	Base abstract class for interest-rate curves.`IRCurve`is an abstract class; you cannot create instances of it directly. You can create`IRFunctionCurve`and`IRDataCurve`objects that are derived from this class.
@IRDataCurve	Creates a representation of an interest-rate curve with dates and data.`IRDataCurve`建立直接通过指定日期和公司吗rresponding 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 constructed directly by specifying a function handle, or you can fit a function to market data using methods 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 usinginterest-rate curve objects is:

Create an interest-rate curve based on anIRDataCurveobject or anIRFunctionCurveobject.
- To create anIRDataCurveobject:
  - Use vectors of dates and data with interpolation methods.
  - Use bootstrapping based on market instruments.
  For more information on creating anIRDataCurveobject, seeCreating an IRDataCurve Object.
- To create anIRFunctionCurveobject:
  - Specify a function handle.
  - Fit a function using the Nelson-Siegel model, Svensson model, or smoothing spline model.
  - Fit a custom function.
Use methods of theIRDataCurveorIRFunctionCurveobjects to extract forward, zero, discount factor, or par yield curves for the interest-rate curve object.
Convert an interest-rate curve from anIRDataCurveorIRFunctionCurveobject to aRateSpecstructure. ThisRateSpecstructure is identical to theRateSpecproduced by the functionintenvset. Using theRateSpecfor an interest-rate curve object, you can then use Financial Instruments Toolbox functions to model an interest-rate structure and price.

Financial Instruments Toolbox Documentation

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