getZeroRates

Get zero rates for input dates for IRFunctionCurve

Class

@IRFunctionCurve

Syntax

F = getZeroRates(CurveObj,InpDates)
F = getZeroRates(CurveObj,InpDates,Name,Value)

Arguments

CurveObj	Interest-rate curve object that is constructed using IRFunctionCurve.
InpDates	Vector of input dates using MATLAB® date format. The input dates must be after the settle date.
Compounding	(Optional) Scalar that sets the compounding frequency per year for zero rates are: −1 = Continuous compounding 1 = Annual compounding 2 = Semiannual compounding (default) 3 = Compounding three times per year 4 = Quarterly compounding 6 = Bimonthly compounding 12 = Monthly compounding
Basis	(Optional) Day-count basis value for zero rates: 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/365 (ISDA) 13 = BUS/252 For more information, see Basis.

Description

F = getZeroRates(CurveObj,InpDates,Name,Value) returns zero rates for the input dates. You must enter the optional arguments for Basis and Compounding as comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Examples

Get Zero Rates For Input Dates For an IRFunctionCurve

This example shows how to get zero rates for input dates for an IRFunctionCurve.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
getZeroRates(irfc, today+30:30:today+720)

ans = 24×1

    0.0201
    0.0202
    0.0204
    0.0205
    0.0206
    0.0207
    0.0209
    0.0210
    0.0211
    0.0212
      ⋮