Converting an IRDataCurve or IRFunctionCurve Object

Introduction

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

  • A RateSpec structure.

    The RateSpec generated from an IRDataCurve or IRFunctionCurve object, using the toRateSpec function, is identical to the RateSpec structure created with intenvset using Financial Instruments Toolbox™ software.

  • A vector of dates and data from an IRDataCurve object

    The vector of dates and data is acceptable to prbyzero, bkcall, bkput, tfutbyprice, and tfutbyyield or any function that requires a term structure of interest rates.

Using the toRateSpec Function

To convert an IRDataCurve or IRFunctionCurve object to a RateSpec structure, you must first create an interest-rate curve object. Then, use the toRateSpec function for an IRDataCurve object or the toRateSpec function for an IRFunctionCurve object.

Example

Create a data vector from the following data: https://www.ustreas.gov/offices/domestic-finance/debt-management/
interest-rate/yield.shtml.

Data = [1.85 1.84 1.91 2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[30 90 180 360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],2);
scatter(Dates,Data)
datetick

Figure contains scatter plot for dates and data from a data source.

Create an IRDataCurve interest-rate curve object.

rr = IRDataCurve('Zero',today,Dates,Data);

Convert to a RateSpec.

toRateSpec(rr, today+30:30:today+365)

ans = 
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [12x1 double]
            Rates: [12x1 double]
         EndTimes: [12x1 double]
       StartTimes: [12x1 double]
         EndDates: [12x1 double]
       StartDates: 733569
    ValuationDate: 733569
            Basis: 0
     EndMonthRule: 1

Using Vector of Dates and Data

You can use the getZeroRates function for an IRDataCurve object with a Dates property to create a vector of dates and data acceptable for prbyzero in Financial Toolbox™ software and bkcall, bkput, tfutbyprice, and tfutbyyield in Financial Instruments Toolbox software.

Example

This is an example of using an IRDataCurve object with the getZeroRates function with prbyzero.

Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = daysadd(today,[360 2*360 3*360 5*360 7*360 10*360 20*360 30*360],1);
irdc = IRDataCurve('Zero',today,Dates,Data,'InterpMethod','pchip');
Maturity = daysadd(today,8*360,1);
CouponRate = .055;
ZeroDates = daysadd(today,180:180:8*360,1);
ZeroRates = getZeroRates(irdc, ZeroDates);
BondPrice = prbyzero([Maturity CouponRate], today, ZeroRates, ZeroDates)

BondPrice =
  113.9250

See Also

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