Documentation

## @IRFunctionCurve

Represent an interest-rate curve object using a function

### Hierarchy

Superclasses: `@IRCurve`

Subclasses: None

### Description

`IRFunctionCurve` is a representation of an interest-rate curve object. You can construct this object directly by specifying a function handle or a function can be fit to market data using methods of the object. 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 a `RateSpec` structure; this is identical to the `RateSpec` structure produced by the Financial Instruments Toolbox™ function `intenvset`.

### Constructor

`IRFunctionCurve`

NameDescription
`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

• 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 interest-rate 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

`FunctionHandle`

Function handle that defines the interest-rate curve. For more information on defining a function handle, see the MATLAB® Programming Fundamentals documentation.

`Parameters`

Fitted parameters for function.

### Methods

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

MethodDescription
`getForwardRates`

Returns forward rates for input dates.

`getZeroRates`

Returns zero rates for input dates.

`getDiscountFactors`

Returns discount factors for input dates.

`getParYields`

Returns par yields for input dates.

`toRateSpec`

Converts to be a `RateSpec` object. This is identical to the `RateSpec` structure produced by the Financial Instruments Toolbox function `intenvset`.

`fitSvensson`

Fits a Svensson function to market data.

`fitNelsonSiegel`

Fits a Nelson-Siegel function to market data.

`fitSmoothingSpline`

Fits a smoothing spline function to market data.

`fitFunction`

Fits a custom function to market data.