getParYields

Get par yields for input dates for IRDataCurve

Syntax

F = getParYields(CurveObj,InpDates)

F = getParYields(___,Name,Value)

Description

F = getParYields(CurveObj,InpDates) computes par yields for input dates for an IRDataCurve object.

F = getParYields(___,Name,Value) adds optional name-value pair arguments.

Examples

Get Par Yields For Input Dates For an IRDataCurve

This example shows how to get par yields for input dates for an IRDataCurve.

CurveSettle = datetime(2016,3,2);
Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]);
irdc = IRDataCurve('Zero',CurveSettle,Dates,Data);
getParYields(irdc, CurveSettle+30:30:CurveSettle+720)

ans = 24×1

    0.0175
    0.0177
    0.0181
    0.0183
    0.0186
    0.0189
    0.0194
    0.0197
    0.0200
    0.0203
      ⋮

Compute Par Yields From a Curve With Simple Interest Compounding

This example shows how set the compounding of an IRDataCurve to Zero (simple interest) and then compute par yields from that curve.

CurveSettle = datetime(2016,3,2);
Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]);
irdc = IRDataCurve('Zero',CurveSettle,Dates,Data,'Compounding',0);
SimpleInt = irdc.getParYields(Dates(1), 'Basis', 2, 'Compounding', 1)

SimpleInt = 
0.0209

Input Arguments

CurveObj — Interest-rate curve object

object

Interest-rate curve object, specified by using IRDataCurve.

Data Types: object

InpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as an NINST-by-1 vector using a datetime array, string array, or date character vectors. The input dates must be after the Settle date of IRDataCurve.

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

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: F = getParYields(irdc, CurveSettle+30:30:CurveSettle+720)

Compounding — Compounding frequency per-year for par yield rates

CurveObj.Compounding (default) | possible values include: –1, 0, 1, 2, 3, 4, 6, 12.

Compounding frequency per-year for par yield rates, specified as the comma-separated pair consisting of 'Compounding' and a scalar numeric using one of the supported values:

• −1 = Continuous compounding

• 0 = Simple interest (no compounding)

• 1 = Annual compounding

• 2 = Semiannual compounding

• 3 = Compounding three times per year

• 4 = Quarterly compounding

• 6 = Bimonthly compounding

• 12 = Monthly compounding

Data Types: double

Basis — Day count basis for the par yield rates

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

Day count basis for the par yield rates, specified as the comma-separated pair consisting of 'Basis' and 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

F — Par yields

vector

Par yields, returned as a vector.

Version History

Introduced in R2008b

R2022b: Serial date numbers not recommended

Although getParYields 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.