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zerorates

Calculate zero rates for parametercurve object

Description

example

outRates = zerorates(obj,inpDates) computes zero rates for the parametercurve object (obj) based on inpDates.

example

outRates = zerorates(___,inpComp,inpBasis) specifies options in addition to any of the input argument combinations in the previous syntax.

Examples

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Create a parametercurve object using parametercurve.

PCobj = parametercurve('zero',datetime(2019,9,15),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])
PCobj = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2019
       Compounding: 4
             Basis: 5
    FunctionHandle: @(t)polyval([-0.0001,0.003,0.02],t)
        Parameters: [-1.0000e-04 0.0030 0.0200]

Compute the zero rates using zerorates.

CurveSettle = datetime(2019,9,15);
outRates = zerorates(PCobj,CurveSettle+30:30:CurveSettle+720)
outRates = 1×24

    0.0202    0.0205    0.0207    0.0210    0.0212    0.0215    0.0217    0.0219    0.0222    0.0224    0.0226    0.0229    0.0231    0.0233    0.0235    0.0238    0.0240    0.0242    0.0244    0.0247    0.0249    0.0251    0.0253    0.0255

Input Arguments

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parametercurve object, specified as a previously created parametercurve object.

Data Types: object

Input dates, specified as a scalar or an NPOINTS-by-1 vector of a datetimes, serial date numbers, cell array of date character vectors, or string array. StartDates must be earlier than EndDates.

Data Types: string | datetime | double | char | cell

(Optional) Input compounding frequency, specified as a scalar numeric using one of the supported values: –1, 0, 1, 2, 3, 4, 6, or 12.

Data Types: double

(Optional) Input day-count basis, specified as a scalar integer.

  • 0 = actual/actual

  • 1 = 30/360 (SIA)

  • 2 = actual/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 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see Basis.

Data Types: double

Output Arguments

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Zero rates, returned as a numeric.

Introduced in R2020a