Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

Financial Instruments Toolbox™ allows you to use either a function-based framework or an alternative object-based framework to create and analyze financial curves.

In the function-based framework, a typical workflow to create an interest-rate curve uses intenvset or IRDataCurve.

CurveSettle = datenum('2-Mar-2016');
Data = [2.09 2.47 2.71 3.12 3.43 3.85 4.57 4.58]/100;
Dates = datemnth(CurveSettle,12*[1 2 3 5 7 10 20 30]);
irdc = IRDataCurve('Zero',CurveSettle,Dates,Data)

irdc = 

			 Type: Zero
		   Settle: 736391 (02-Mar-2016)
	  Compounding: 2
			Basis: 0 (actual/actual)
	 InterpMethod: linear
			Dates: [8x1 double]
			 Data: [8x1 double]

By contrast, in the Financial Instruments Toolbox object-based workflow, you create a ratecurve object:

Settle = datetime("15-Sep-2017");
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;
ZeroCurve = ratecurve("zero",Settle,ZeroDates,ZeroRates)

ZeroCurve = 

  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10×1 datetime]
                Rates: [10×1 double]
               Settle: 15-Sep-2017
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Note

The function-based and object-based workflows can return different prices even if you use the same data. This is because the existing Financial Instruments Toolbox curve functions use date2time and the object-based framework use yearfrac for date handling.

The following table lists the Financial Instruments Toolbox curve functions mapped to the associated object-based framework.

Financial Instruments Toolbox Curve Function	Object-Based Framework
`IRDataCurve`	`ratecurve`
`getForwardRates`	`forwardrates`
`getZeroRates`	`zerorates`
`getDiscountFactors`	`discountfactors`
`bootstrap`	`irbootstrap`
`IRFunctionCurve`	`parametercurve`
`getForwardRates`	`forwardrates`
`getZeroRates`	`zerorates`
`getDiscountFactors`	`discountfactors`
`fitNelsonSiegel`	`fitNelsonSiegel`
`fitSvensson`	`fitSvensson`
`cdsbootstrap`	`defprobstrip`
Not supported	`defprobcurve`
Not supported	`survprobs`
Not supported	`hazardrates`
Not supported	`STIRFuture` using `irbootstrap` to create `ratecurve` object
Not supported	`OISFuture` using `irbootstrap` to create `ratecurve` object
Not supported	`OvernightIndexedSwap` using `irbootstrap` to create `ratecurve` object

Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

Related Topics