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 = datetime(2016,3,2);
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(2017,9,15);
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. For more information, see Difference Between yearfrac and date2time.

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