zerorates

Calculate zero rates for ratecurve object

Syntax

outRates = zerorates(obj,inpDates)

outRates = zerorates(___,inpComp,inpBasis)

Description

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

outRates = zerorates(___,inpComp,inpBasis) optionally specifies the input compounding frequency (inpComp) and the input day-count basis (inpBasis) in addition to any of the input argument combinations in the previous syntax.

Examples

Calculate Zero Rates for ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates,'Compounding',2,'Basis',5,'InterpMethod',"pchip",'ShortExtrapMethod',"linear",'LongExtrapMethod',"pchip")

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 2
                Basis: 5
                Dates: [10×1 datetime]
                Rates: [10×1 double]
               Settle: 15-Sep-2019
         InterpMethod: "pchip"
    ShortExtrapMethod: "linear"
     LongExtrapMethod: "pchip"

Compute the zero rates using zerorates.

CurveSettle = datetime(2019,9,15);
outRates = zerorates(myRC,CurveSettle+30:30:CurveSettle+720)

outRates = 1×24

    0.0049    0.0050    0.0050    0.0051    0.0051    0.0052    0.0052    0.0053    0.0053    0.0054    0.0054    0.0055    0.0055    0.0056    0.0056    0.0057    0.0057    0.0058    0.0058    0.0059    0.0059    0.0060    0.0060    0.0061

Input Arguments

obj — ratecurve object

ratecurve object | parametercurve object

ratecurve object, specified using a previously created ratecurve object.

In addition, you can use a parametercurve object. Also, you can create a parametercurve object using fitNelsonSiegel, fitSvensson, or fitSmithWilson.

Data Types: object

inpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

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

inpComp — Input compounding frequency

Compounding for the ratecurve object (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

(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

inpBasis — Input day-count basis

0 (actual/actual) (default) | integer from 0 to 13

(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

outRates — Zero rates

numeric

Zero rates, returned as a numeric.

More About

Zero Rate

A zero rate is the yield on a zero-coupon bond that matures at a particular time in the future.

Zero rates represents the interest rate that would be earned on a risk-free investment over a specified period, assuming no intermediate cash flows.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although zerorates supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.