toRateSpec

Convert IRFunctionCurve object to RateSpec

Syntax

F = toRateSpec(CurveObj,InpDates)

Description

F = toRateSpec(CurveObj,InpDates) computes RateSpec object for input dates for an IRFunctionCurve object. The RateSpec object that is identical to the RateSpec structure created by the function intenvset.

Examples

Convert an IRFunctionCurve Object to a RateSpec

This example shows how to convert an IRFunctionCurve object to a RateSpec. First, an IRFunctionCurve object is created using the function IRFunctionCurve constructor, then a RateSpec structure is created using the toRateSpec method.

irfc = IRFunctionCurve('Forward',today,@(t) polyval([-0.0001 0.003 0.02],t));
toRateSpec(irfc, today+30:30:today+365)

ans = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [12x1 double]
            Rates: [12x1 double]
         EndTimes: [12x1 double]
       StartTimes: [12x1 double]
         EndDates: [12x1 double]
       StartDates: 738400
    ValuationDate: 738400
            Basis: 0
     EndMonthRule: 1

Input Arguments

CurveObj — Interest-rate curve object

object

Interest-rate curve object, specified by using IRFunctionCurve.

Data Types: object

InpDates — Input dates

vector

Input dates, specified using MATLAB^® date format. The input dates must be after the Settle date of IRFunctionCurve.

Data Types: double

Output Arguments

F — Rate spec

object

Rate spec, returned as an object. The RateSpec object that is identical to the RateSpec structure created by the function intenvset.

Alternatively, you can convert the RateSpec object to a ratecurve object (see Convert RateSpec to a ratecurve Object) and then use the Financial Instruments Toolbox™ object-based framework for pricing instruments.