Documentation

# 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, see Yield Curves (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.