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Bootstrap from Market Data

Bootstrap IRDataCurve object from market data and analyze zero curve

For information about using the IRDataCurve object, see the Workflow Using Interest-Rate Curve Objects.

Classes

IRDataCurve Construct interest-rate curve object from dates and data
IRBootstrapOptions Construct specific options for bootstrapping interest-rate curve object

Examples and How To

Creating Interest-Rate Curve Objects

Alternatives for creating an interest-rate curve object.

Creating an IRDataCurve Object

Use the IRDataCurve constructor with vectors of dates and data to create an interest-rate curve object.

Bootstrapping a Swap Curve

This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the IRDataCurve object.

Dual Curve Bootstrapping

This example shows how to bootstrap a forward curve using a different curve for discounting.

Converting an IRDataCurve or IRFunctionCurve Object

The IRDataCurve and IRFunctionCurve objects for interest-rate curves support conversion.

Analysis of Inflation Indexed Instruments

This example shows how to analyze inflation indexed instruments in MATLAB®.

Concepts

Interest-Rate Curve Objects and Workflow

Financial Instruments Toolbox™ class structure supports interest-rate curve objects.

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