@IRDataCurve

Represent interest-rate curve object based on vector of dates and data

Hierarchy
Description
Constructor
Public Read-Only Properties
Methods

Hierarchy

Superclasses:@IRCurve

Subclasses:None

Description

IRDataCurveis a representation of an interest-rate curve object with dates and data. You can construct this object directly by specifying dates and corresponding interest rates or discount factors; alternatively, you can bootstrap the object from market data. After an interest-rate curve object is constructed, you can:

Calculate forward and zero rates and determine par yields.
Extract the discount factors.
Convert to aRateSpecstructure that is identical to theRateSpecstructure produced by the functionintenvset.

Constructor

IRDataCurve

Public Read-Only Properties

Name	Description
`Type`	Type of interest-rate curve:`zero`,`forward`, or`discount`.
`Settle`	Scalar for the`Settle`date of the curve.
`Compounding`	Scalar that sets the compounding frequency per year for the`IRCurve`object: -1 = Continuous compounding 0 = Simple interest (no compounding) 1 = Annual compounding 2 = Semiannual compounding (default) 3 = Compounding three times per year 4 = Quarterly compounding 6 = Bimonthly compounding 12 = Monthly compounding
`Basis`	Day-count basis of the financial curve. A vector of integers. 0 = actual/actual (default) 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (BMA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ICMA) 9 = actual/360 (ICMA) 10 = actual/365 (ICMA) 11 = 30/360E (ICMA) 12 = actual/actual (ISDA) 13 = BUS/252 For more information, seeBasis.
`Dates`	Dates corresponding to rate data.
`Data`	Interest-rate data or discount factors for the curve object.
`InterpMethod`	Values are: `'linear'`— Linear interpolation (default). `'constant'`— Piecewise constant interpolation. `“pchip”`— Piecewise cubic Hermite interpolation. `'spline'`— Cubic spline interpolation.

Methods

The following table contains links to methods with supporting reference pages, including examples.

Method	Description
`getForwardRates`	Returns forward rates for input dates.
`getZeroRates`	Returns zero rates for input dates.
`getDiscountFactors`	Returns discount factors for input dates.
`getParYields`	返回输入日期票面收益率。
`toRateSpec`	Converts to be a`RateSpec`object. This structure is identical to the`RateSpec`produced by the function`intenvset`.
`bootstrap`	Bootstraps an interest rate curve from market data.