pyld2zero

零曲线给定的质量曲线

在R2017B中，可选输入参数的规范已更改。尽管仍然支持先前的有序输入语法，但在将来的版本中可能不再支持它。金宝app使用新的可选名称值对输入：InputCompounding,输入流,outputCompounding，和outputbasis。

Syntax

[ZeroRates,CurveDates] = pyld2zero(ParRates,CurveDates,Settle)

[ZeroRates,CurveDates] = pyld2zero(___，名称，值）

描述

example

[ZeroRates,弯曲] = pyld2zero（模拟,弯曲,Settle)returns a zero curve given a par yield curve and its maturity dates. If either input for弯曲或者Settleis a datetime array,弯曲is returned as a datetime array. Otherwise,弯曲is returned as a serial date number.

[ZeroRates,弯曲] = pyld2zero（___,Name,Value)adds optional name-value pair arguments

例子

全部收缩

Compute Zero Curve Given Par Yield Curve

打开实时脚本

Define the settlement date, maturity, and zero rates.

Settle = datenum('01 -Feb-2013'）；curvedates = datemnth（setter，12*[1 2 3 5 7 10 20 30]'）;zerorates = [.11 0.30 0.64 1.44 2.07 2.61 3.29 3.55]'/100;inputCompounding = 2;inputBasis = 1;outputCompounding = 2;outputBasis = 1;

计算零速率的PAR屈服曲线。

parrates = Zero2Pyld（曲线，弯曲，凝固，静置，“InputCompounding”，2，。。。'InputBasis'，1，'OutputCompounding'，2，'OutputBasis'，1）

parrates =8×10.0011 0.0030 0.0064 0.0142 0.0201 0.0251 0.0309 0.0330

Compute zero curve from the par yield curve.

zerorates =pyld2zero(ParRates, CurveDates, Settle,“InputCompounding”，2，。。。'InputBasis'，1，'OutputCompounding'，2，'OutputBasis'，1）

zerorates =8×10.0011 0.0030 0.0064 0.0144 0.0207 0.0261 0.0329 0.0355

使用DateTime输入计算给定的零曲线曲线曲线

打开实时脚本

利用约会时间inputs to compute the zero curve given the par yield curve.

Settle = datenum('01 -Feb-2013'）；curvedates = [datenum（'01-Feb-2014') datenum('01 -Feb-2015') datenum('01 -Feb-2016') datenum('01 -Feb-2018') datenum('01-Feb-2020') datenum('01-Feb-2023') datenum('01-Feb-2033') datenum('01-Feb-2043'）;原始Parrates = [0.11 0.30 0.64 1.42 2.02 2.51 3.10 3.31]'/100;inputCompounding = 1;inputBasis = 0;outputCompounding = 1;outputBasis = 0;Settle = datetime(Settle,“转换”,'datenum','Locale','en_US'）；curvedates = dateTime（弯曲“转换”,'datenum','Locale','en_US'）；[ZeroRates Dates] = pyld2zero(OriginalParRates, CurveDates, Settle,。。。'OutputCompounding', OutputCompounding,'OutputBasis'，outputbasis，。。。“InputCompounding”，inputCompound，'InputBasis'，输入曲））

zerorates =8×10.0011 0.0030 0.0064 0.0144 0.0207 0.0261 0.0329 0.0356

日期=8x1 datetime01-FEB-2014 01-FEB-2015 01-FEB-2016 01-FEB-2018 01-FEB-2020 01-FEB-2023 01-FEB-2033 01-FEB-2033 01-FEB-2043

展示来自`pyld2zero`to`Zero2Pyld`

打开实时脚本

Given the following a par yield curve and its maturity dates, return theZeroRates。

Settle = datenum('01 -Feb-2013'）；curvedates = [datenum（'01-Feb-2014') datenum('01 -Feb-2015') datenum('01 -Feb-2016') datenum('01 -Feb-2018') datenum('01-Feb-2020') datenum('01-Feb-2023') datenum('01-Feb-2033') datenum('01-Feb-2043'）;原始Parrates = [0.11 0.30 0.64 1.42 2.02 2.51 3.10 3.31]'/100;inputCompounding = 1;inputBasis = 0;outputCompounding = 1;outputBasis = 0;zerorates = pyld2zero（原始parrates，Curvedates，setter，。。。'OutputCompounding', OutputCompounding,'OutputBasis'，outputbasis，。。。“InputCompounding”，inputCompound，'InputBasis'，输入曲））

zerorates =8×10.0011 0.0030 0.0064 0.0144 0.0207 0.0261 0.0329 0.0356

与ZeroRates, use theZero2Pyldfunction to return the模拟Out并确定往返误差。

parratesout = Zero2Pyld（Zerorates，curvedates，setter，。。。'OutputCompounding', OutputCompounding,'OutputBasis'，outputbasis，。。。“InputCompounding”，inputCompound，'InputBasis'，输入曲））

parratesout =8×10.0011 0.0030 0.0064 0.0142 0.0202 0.0251 0.0310 0.0331

max(abs(OriginalParRates - ParRatesOut))％往返错误

ANS = 1.2750E-16

Input Arguments

全部收缩

`模拟`—年化标准收益率
decimal fraction

年化标准收益率(coupon rates), specified as aNUMBONDS-经过-1vector using decimal fractions. In aggregate, the rates constitute an implied zero curve for the investment horizon represented by弯曲。

Data Types:double

`弯曲`—Maturity dates
序列日期编号|日期字符向量|约会时间

Maturity dates which correspond to the input模拟, specified as aNUMBONDS-经过-1使用串行日期号，日期字符向量或DateTime数组的向量。

Data Types:double|约会时间|char

`Settle`—公共定居日期`ZeroRates`
序列日期编号|日期字符向量|约会时间

通用定居日期的输入日期模拟, specified as serial date numbers, date character vectors, or datetime arrays.

Data Types:double|约会时间|char

Name-Value Arguments

Specify optional comma-separated pairs ofName,Value参数。Nameis the argument name and价值是相应的值。Name必须出现在引号中。您可以按任何顺序指定几个名称和值对参数NAME1，Value1，...，Namen，Valuen。

例子：

[ZeroRates,CurveDates] = pyld2zero(ParRates,CurveDates,Settle,'OutputCompounding',3,'OutputBasis',5,'InputCompounding',4,'InputBasis',5)

`outputCompounding`—Compounding frequency of output`ZeroRates`
`2`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`12`,`365`,`-1`

Compounding frequency of outputZeroRates, specified using the allowed values:

0— Simple interest (no compounding)
1- 年度复合
2- 半年度复合（默认）
3— Compounding three times per year
4— Quarterly compounding
6— Bimonthly compounding
12- 每月复合
365— Daily compounding
-1- 连续复合

Note

如果outputCompounding被设定为0（简单的），-1(continuous), or365（每日），InputCompoundingmust also be specified using a valid value.
如果outputCompoundingis not specified, thenoutputCompoundingis assigned the value specified forInputCompounding。
如果是outputCompounding或者InputCompoundingare not specified, the default is2（半年度）两者。

Data Types:double

`outputbasis`—Day-count basis of output`ZeroRates`
`0`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`7`,`8`,`9`,`10`,`11`,`12`,`13`

产出日计数ZeroRates, specified using allowed values:

0 = actual/actual
1 = 30/360 (SIA)
2 =实际/360
3 = actual/365
4 = 30/360（PSA）
5 = 30/360 (ISDA)
6 = 30/360 (European)
7 = actual/365 (Japanese)
8 = actual/actual (ICMA)
9 =实际/360（ICMA）
10 = actual/365 (ICMA)
11 = 30/360E（ICMA）
12 = actual/365 (ISDA)
13 =巴士/252

有关更多信息，请参阅基础。

Note

如果outputbasisis not specified, thenoutputbasisis assigned the value specified for输入流。如果是输入流或者outputbasisare not specified, the default is0(actual/actual) for both.

Data Types:double

`InputCompounding`—Compounding frequency of input`模拟`
`2`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`12`,`365`,`-1`

Compounding frequency of input模拟, specified using allowed values:

1- 年度复合
2- 半年度复合（默认）
3— Compounding three times per year
4— Quarterly compounding
6— Bimonthly compounding
12- 每月复合

Note

如果outputCompoundingis1,2,3,4,6, or12和InputCompounding未指定，价值outputCompounding用来。
如果outputCompoundingis0（简单的），-1(continuous), or365（每日），有效InputCompoundingvalue must also be specified.
如果是InputCompounding或者outputCompoundingare not specified, the default is2（半年度）两者。

Data Types:double

`输入流`—Day-count basis of input`模拟`
`0`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`7`,`8`,`9`,`10`,`11`,`12`,`13`

Day count basis of the input模拟, specified using allowed values:

0 = actual/actual
1 = 30/360 (SIA)
2 =实际/360
3 = actual/365
4 = 30/360（PSA）
5 = 30/360 (ISDA)
6 = 30/360 (European)
7 = actual/365 (Japanese)
8 = actual/actual (ICMA)
9 =实际/360（ICMA）
10 = actual/365 (ICMA)
11 = 30/360E（ICMA）
12 = actual/365 (ISDA)
13 =巴士/252

有关更多信息，请参阅基础。

Note

如果输入流is not specified, then输入流is assigned the value specified foroutputbasis。如果是输入流或者outputbasisare not specified, the default is0(actual/actual) for both.

Data Types:double

Output Arguments

全部收缩

`ZeroRates`— Zero rates
数字

零费率，返回NUMBONDS-经过-1数字vector. In aggregate, the rates inZeroRates构成由代表的投资范围的零曲线弯曲。ZeroRatesare ordered by ascending maturity.

`弯曲`— Maturity dates that correspond to`ZeroRates`
序列日期编号| date character vector | datetime

成熟日期与ZeroRates, returned as aNUMBONDS-经过-1成熟日期的向量，对应于每个PAR速率ZeroRates。弯曲are ordered by ascending maturity.

如果要输入弯曲或者Settleis a datetime array,弯曲is returned as a datetime array. Otherwise,弯曲are returned as a serial date numbers.

pyld2zero

Syntax

描述

例子

Compute Zero Curve Given Par Yield Curve

使用DateTime输入计算给定的零曲线曲线曲线

展示来自`pyld2zero`to`Zero2Pyld`

Input Arguments

`模拟`—年化标准收益率
decimal fraction

`弯曲`—Maturity dates
序列日期编号|日期字符向量|约会时间

`Settle`—公共定居日期`ZeroRates`
序列日期编号|日期字符向量|约会时间

Name-Value Arguments

`outputCompounding`—Compounding frequency of output`ZeroRates`
`2`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`12`,`365`,`-1`

`outputbasis`—Day-count basis of output`ZeroRates`
`0`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`7`,`8`,`9`,`10`,`11`,`12`,`13`

`InputCompounding`—Compounding frequency of input`模拟`
`2`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`12`,`365`,`-1`

`输入流`—Day-count basis of input`模拟`
`0`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`7`,`8`,`9`,`10`,`11`,`12`,`13`

Output Arguments

`ZeroRates`— Zero rates
数字

`弯曲`— Maturity dates that correspond to`ZeroRates`
序列日期编号| date character vector | datetime

See Also

Topics

Financial Toolbox Documentation

金宝app

A Practical Guide to Modeling Financial Risk with MATLAB

pyld2zero

Syntax

描述

例子

Compute Zero Curve Given Par Yield Curve

使用DateTime输入计算给定的零曲线曲线曲线

展示来自pyld2zerotoZero2Pyld

Input Arguments

模拟—年化标准收益率decimal fraction

弯曲—Maturity dates序列日期编号|日期字符向量|约会时间

Settle—公共定居日期ZeroRates序列日期编号|日期字符向量|约会时间

Name-Value Arguments

outputCompounding—Compounding frequency of outputZeroRates2(default) |数字values:0,1,2,3,4,6,12,365,-1

outputbasis—Day-count basis of outputZeroRates0(default) |数字values:0,1,2,3,4,6,7,8,9,10,11,12,13

InputCompounding—Compounding frequency of input模拟2(default) |数字values:0,1,2,3,4,6,12,365,-1

输入流—Day-count basis of input模拟0(default) |数字values:0,1,2,3,4,6,7,8,9,10,11,12,13

Output Arguments

ZeroRates— Zero rates数字

弯曲— Maturity dates that correspond toZeroRates序列日期编号| date character vector | datetime

See Also

Topics

Financial Toolbox Documentation

金宝app

A Practical Guide to Modeling Financial Risk with MATLAB

展示来自`pyld2zero`to`Zero2Pyld`

`模拟`—年化标准收益率
decimal fraction

`弯曲`—Maturity dates
序列日期编号|日期字符向量|约会时间

`Settle`—公共定居日期`ZeroRates`
序列日期编号|日期字符向量|约会时间

`outputCompounding`—Compounding frequency of output`ZeroRates`
`2`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`12`,`365`,`-1`

`outputbasis`—Day-count basis of output`ZeroRates`
`0`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`7`,`8`,`9`,`10`,`11`,`12`,`13`

`InputCompounding`—Compounding frequency of input`模拟`
`2`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`12`,`365`,`-1`

`输入流`—Day-count basis of input`模拟`
`0`(default) |数字values:`0`,`1`,`2`,`3`,`4`,`6`,`7`,`8`,`9`,`10`,`11`,`12`,`13`

`ZeroRates`— Zero rates
数字

`弯曲`— Maturity dates that correspond to`ZeroRates`
序列日期编号| date character vector | datetime