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Yield Curves

Bootstrap yield curves from market data, estimate parameters for yield curve models, simulate yield curves from historical data

The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. This toolbox provides functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different type of interest-rate curves. You can also simulate future yield curves using a bootstrapping technique that also incorporates different regimes.

  • Bootstrap from Market Data
    Bootstrap IRDataCurve object from market data and analyze zero curve
  • Estimate Model Parameters
    Estimate parameters of IRFunctionCurve object for Nelson-Siegel, Svensson, and smoothing spline yield curve models and analyze curve models

Featured Examples