discountfactors

Calculate discount factors for a ratecurve object

Description

example

outDF = discountfactors(obj,inpDates) calculates the discount factors for a ratecurve object.

Examples

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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: [10x1 datetime]
Rates: [10x1 double]
Settle: 15-Sep-2019
InterpMethod: "pchip"
ShortExtrapMethod: "linear"
LongExtrapMethod: "pchip"

Compute the discount factors using discountfactors.

CurveSettle = datetime(2019,9,15);
outRates = discountfactors(myRC,CurveSettle+30:30:CurveSettle+720)
outRates = 1×24

0.9996    0.9992    0.9988    0.9983    0.9979    0.9974    0.9970    0.9965    0.9961    0.9956    0.9951    0.9946    0.9941    0.9936    0.9931    0.9926    0.9921    0.9915    0.9910    0.9904    0.9899    0.9893    0.9887    0.9881

Input Arguments

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ratecurve object, specified using a previously created ratecurve object.

Data Types: object

Input dates, specified as a scalar or an NPOINTS-by-1 vector of datetimes, serial date numbers, cell array of date character vectors, or string array.

Data Types: string | datetime | double | char | cell

Output Arguments

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Discount factors, returned as a numeric.

Introduced in R2020a