Zero curve given forward curve
In R2017b, the specification of optional input arguments has changed. While the
previous ordered inputs syntax is still supported, it may no longer be supported in
a future release. Use the new optional name-value pair inputs:
InputCompounding
, InputBasis
,
OutputCompounding
, and
OutputBasis
.
[
returns a zero curve given an implied forward rate curve and its maturity dates.
If both inputs for ZeroRates
,CurveDates
] = fwd2zero(ForwardRates
,CurveDates
,Settle
)CurveDates
and
Settle
are serial date numbers or date character
vectors, CurveDates
is returned as serial date numbers.
However, if either of the inputs for CurveDates
and
Settle
are a datetime array,
CurveDates
is returned as a datetime array.
[
adds optional name-value pair argumentsZeroRates
,CurveDates
] = fwd2zero(___,Name,Value
)