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Term Structure Definition and Analysis

Define and analyze interest-rate term structure

Functions

date2time Time and frequency from dates
datedisp Display date entries
disc2rate Interest rates from cash flow discounting factors
intenvget Properties of interest-rate structure
intenvset Set properties of interest-rate structure
rate2disc Discount factors from interest rates
ratetimes Change time intervals defining interest-rate environment
time2date Dates from time and frequency

Examples and How To

Modeling the Interest-Rate Term Structure

Financial Instruments Toolbox™ includes a set of functions to encapsulate interest-rate term information into a single structure.

Interest-Rate Term Conversions

Interest-rate evolution is typically represented by a set of interest rates, including the beginning and end of the periods the rates apply to.

Concepts

Understanding the Interest-Rate Term Structure

The interest-rate term structure represents the evolution of interest rates through time.

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