IRFunctionCurveobject for Nelson-Siegel, Svensson, and smoothing spline yield curve models and analyze curve models
For information about using the
object, see Fitting Interest-Rate Curve Functions.
|Get forward rates for input dates for
|Get zero rates for input dates for
|Get discount factors for input dates for
|Get par yields for input dates for
|Fit Nelson-Siegel function to bond market data|
|Fit Svensson function to bond market data|
|Fit smoothing spline to bond market data|
|Custom fit interest-rate curve object to bond market data|
with vectors of dates and data to create an interest-rate curve object.
IRFunctionCurve with a MATLAB® function handle to define an interest-rate curve.
This example shows how to use
IRFunctionCurve objects to model the term structure of interest rates (also referred to as the yield curve).
for interest-rate curves support conversion.
This example shows how to analyze inflation-indexed instruments using Financial Toolbox™ and Financial Instruments Toolbox™.
This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the
This example shows how to bootstrap a forward curve using a different curve for discounting.
Financial Instruments Toolbox™ class structure supports interest-rate curve objects.
Alternatives for creating an interest-rate curve object.
Mapping curve functions to an object-based framework.