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zerorates

Calculate zero rates for parametercurve object

Since R2020a

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 using a datetime array, string array, or date character vectors. StartDates must be earlier than EndDates.

To support existing code, zerorates also accepts serial date numbers as inputs, but they are not recommended.

(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.

Version History

Introduced in R2020a

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